We consider stochastic correlation models that account for the correlation smile in the pricing of synthetic CDO tranches. These can be viewed as tractable extensions of the one-factor Gaussian copula ...

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 ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

During the financial crisis, it was often impossible to calibrate the Gaussian copula credit portfolio model with base correlation and fixed recovery rates (also known as the standard Gaussian copula ...

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 ...

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 ...

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 ...