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About correlation measures including Pearson’s, Spearman’s and Kendall’s tau, each of the following is true accept which is false?

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A) Pearson is a cardinal correlation measure while Spearman’s and Kendall’s tau are ordinal correlation measures.

B) The problem with applying ordinal rank correlations to cardinal observations is that ordinal correlation are less sensitive to outliers (an unwelcome property in risk management)

C) An advantage of Pearson’s correlation coefficient is that it is invariance to transformations: e.g., Pearson’s correlation between pairs [x, y] will equal Pearson’s correlation between [ln(x), ln(y)]

D) Pearson’s correlation coefficient is a natural (good) dependence measure when variables are distributed as multivariate elliptical (e.g., normal, student’s t); however, we know many financial variables are not elliptically distributed.

答案：C

解析：False. Pearson's is strictly not invariant to transformation. For example, Pearson's correlation between pairs [x, y] will not equal Pearson's between[ln(x), ln(y)]. In regard to (A), (B) and (D), each is TRUE.

Which of the following copula functions are used to price tranches of collateralized debt obligations (CDOs)?

A) Gaussian (or normal) copula.扫码领取

B) Independent copula.

C) Gumbel (or logistic) copula.

D) Extreme value copula.

答案：A

解析：The one-factor Gaussian copula models are used to price tranches of CDOs.

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