Problem 6. (4 x 2.5 = 10 points) Choose EXACTLY one answer in each of the following questions. I. Let C be a bivariate copula. One of the following equalities is wrong, deter- mine which. A. C(1,5) = 1 B. C(0, ) = 0. C. C(0,1) = 0. I D. C(1,0) = 1. ANSWER: 1 2 II. Suppose that the risk factors of your model is X = (X1, X2)', where X, is the asset price and X2 is a put price on the asset. Which of the following is the right dependence model for X. A. II B. OG C. w D. M ANSWER: Problem 6. (4 x 2.5 = 10 points) Choose EXACTLY one answer in each of the following questions. I. Let C be a bivariate copula. One of the following equalities is wrong, deter- mine which. A. C(1,5) = 1 B. C(0, ) = 0. C. C(0,1) = 0. I D. C(1,0) = 1. ANSWER: 1 2 II. Suppose that the risk factors of your model is X = (X1, X2)', where X, is the asset price and X2 is a put price on the asset. Which of the following is the right dependence model for X. A. II B. OG C. w D. M