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 ...
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 ...
This paper is concerned with the analysis of clustered data from developmental toxicity studies with mixed responses, i.e., where each member of the cluster has binary and continuous outcomes. A ...
Journal of the Royal Statistical Society. Series A (Statistics in Society), Vol. 178, No. 2 (FEBRUARY 2015), pp. 337-361 (25 pages) We study whether individuals' private information on health risk ...
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 ...
The news correspondents obtained a quote from the research from the Department of Agriculture, "The 2014 Farm Bill further expanded the crop insurance program and introduced a number of new ...
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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