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 ...

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

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. It’s ba-ack. The formula that famously felled Wall Street. The Gaussian copula — with which banks famously ...

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, ...

We’ll send you a myFT Daily Digest email rounding up the latest Investment Banking news every morning. What this paper reveals that really stands out is that the quant community also didn’t, and doesn ...

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 ...

As he was brushing his teeth on the morning of July 17, 2014, Thomas Royen, a little-known retired German statistician, suddenly lit upon the proof of a famous conjecture at the intersection of ...