Which of the following is true
A. The Gaussian copula model assumes that the defaults of different companies are independent.
B. The Gaussian copula model assumes that defaults, conditional on the value of a factor , are independent.
C. The Gaussian copula model assumes that the number of defaults is normally distributed.
D. None of the above.
B
The Gaussian copula model is analyzed by noting that defaults conditional on a factor are independent
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A. switch B. convertible C. adjustable D. rotation
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Answer the following statement true (T) or false (F)