What is Gaussian copula in FRM Part 1?

A dependence model that joins marginal distributions using a multivariate normal dependence structure. It has no asymptotic tail dependence below perfect correlation, which can understate joint extreme credit losses.

Gaussian copula

FRM Part 1 glossary · Quantitative Analysis

Definition

A dependence model that joins marginal distributions using a multivariate normal dependence structure.

Gaussian copula in plain English

It has no asymptotic tail dependence below perfect correlation, which can understate joint extreme credit losses.

Learn these first

Copula
Tail dependence

Related FRM Part 1 terms

Bayes' theorem
Bootstrapping (term structure)
Central limit theorem
Copula
Exponentially weighted moving average (EWMA)
Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Heteroskedasticity
Monte Carlo simulation
Ordinary least squares (OLS)
p-value

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