风险管理与金融机构课件Ch10.pptVIP

* * V1 Mapping to U1 Risk Management and Financial Institutions 2e, Chapter 10, Copyright ? John C. Hull 2009 * V1 Percentile U1 0.2 20 -0.84 0.4 55 0.13 0.6 80 0.84 0.8 95 1.64 V2 Mapping to U2 Risk Management and Financial Institutions 2e, Chapter 10, Copyright ? John C. Hull 2009 * V2 Percentile U2 0.2 8 ?1.41 0.4 32 ?0.47 0.6 68 0.47 0.8 92 1.41 Example of Calculation of Joint Cumulative Distribution Probability that V1 and V2 are both less than 0.2 is the probability that U1 ?0.84 and U2 ?1.41 When copula correlation is 0.5 this is M( ?0.84, ?1.41, 0.5) = 0.043 where M is the cumul