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 ...

MacKenzie is a very smart sociologist, who understands quants and copula functions much more deeply than I ever did. (And, like most journalists, I forgot nearly all of what I ever knew about them ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. It’s ba-ack. The formula that famously felled Wall Street. The Gaussian copula — with which banks famously ...

Several economic blogs have pointed me to this excellent article by Felix Salmon in Wired on the Gaussian copula devised by mathematician David X. Li in 2000. This was a mathematical formula to ...

In this paper we consider the large homogeneous portfolio (LHP) approximation with a two-factor Gaussian copula and random recovery rate. In addition, we assume that the earlier the default occurs, ...

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 ...

This paper presents two new models of portfolio default loss that extend the standard Gaussian copula model yet preserve tractability and computational efficiency. In one extension, we randomize ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Never were truer words spoken of a mathematical formula. Out on Friday — some über-Geeky weekend reading for ...

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 ...