Gaussian copula for time to default

Reference no: EM1394284

Suppose that bank has made a large number of loans of a certain type. The one year probability of default each loan 1.2%. The bank uses a Gaussian copula for time to default. It is interested in estimating a 99.97% worst case for percentage of loan that defaults on the portfolio. Show how this varies with the copula correlation.

Reference no: EM1394284

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