# The probability density function for an exponential distribution is ex where x is the value of the

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The probability density function for an exponential distribution is e−x where x is the value of the variable and  is a parameter. The cumulative probability distribution is 1− e−x. Suppose that two variables V1 and V2 have exponential distributions with parameters of 1.0 and 2.0, respectively. Use a Gaussian copula to define the correlation structure between V1 and V2 with a copula correlation of –0.2. Produce a table similar to Table 11.3 using values of 0.25, 0.5, 0.75, 1, 1.25, and 1.5 for V1 and V2. A spreadsheet for calculating the cumulative bivariate normal distribution is on the author’s website: www-2.rotman.utoronto.ca/∼hul/riskman.
Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...
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