Which of the following isnot an important benefit of using copula functions for correlated default?
A)Copula distribution functions are computationally more tractable than multivariate normal distributions.
B)Copulas allow separation of the marginal distribution functions and the correlation function.
C)Copulas allow coupling of multivariate distributions where the marginals may be chosen from varied probability distributions.
D)Copulas allow flexible modeling of the tails of the joint distribution.

Question

Quizplus · Accepted Answer

The statement (a)is incorrect.Copulas are harder to work with than multivariate normal distributions which come canned in most software packages,and are also accurate to a high degree.

Which of the Following Isnot an Important Benefit of Using