Bivariate gaussian copula

[Jose V]

Hi David,
In spreadsheet "R38.P2.T5_Meissner-Correlation-v10" (sheet "Gaussian copula (Meissner)") the bivariate gaussian output in cell Q17 is not working.
Can you help me with that? Thanks!

 

[David Harper CFA FRM]

Hi @Jose V sorry that sheet requires macros (extension .xlsm), here is Meissner's macro-enabled version: https://www.dropbox.com/s/9ys7cszj3nxsqzu/Meissner-Ch4-2-asset_default_time_Copula.xlsm?dl=0

this should work, thanks

 

[Jose V]

Thanks a lot David