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 ...

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 ...

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 ...

One of the alleged culprits of the financial crisis is the Gaussian Copula, a pretty straightforward probability model. All this model does is map the probabilities of individual events into the ...

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, ...

Copula theory provides a unifying framework for modelling the dependence structure among multiple random variables independently of their marginal distributions. At its core is the decomposition of ...

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 ...