Get your news from a source that’s not owned and controlled by oligarchs. Sign up for the free Mother Jones Daily. In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of ...
Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. What this paper reveals that really stands out is that the quant community also didn’t, and doesn’t, rate the ...
Earlier this week, Easy Street brought you a picture of the financial crisis in tattoo form: a man’s forearm, newly and impressively branded with the Gaussian copula function. Striking, no? It looks ...
Yep, the Gaussian copula. Again. “‘The Formula That Killed Wall Street’? The Gaussian Copula and the Material Cultures of Modelling” is a recommended read (H/T Tracy Alloway). It’s not really about ...
Since the seminal paper of Li (2000), the Gaussian copula model has become the market standard of the structured credit derivatives world. By postulating a correlation structure for the default times ...
Hollenbach, F.M., I. Bojinov, S. Minhas, N.W. Metternich, M.D. Ward, and A. Volfovsky. "Multiple Imputation Using Gaussian Copulas." Special Issue on New Quantitative ...
In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, the use of other copulas has recently been proposed in the area of credit risk for modeling loss ...
QUANT models and their architects are so misunderstood, often by people working in finance. It pains me, though I am biased. I spent the better part of a decade devoted to studying elegant (and ...
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