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 ...

Copula models arise in the market when quoted information about the behaviour of single assets is available but very little is known about their joint relations. Information about the joint ...

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

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 ...

The authors derive the asymptotic mean and bias of Kendall's tau and Spearman's rho in the presence of left censoring in the bivariate Gaussian copula model. They show that tie corrections for ...

We study the adaptive estimation of copula correlation matrix Σ for the semi-parametric elliptical copula model. In this context, the correlations are connected to Kendall's tau through a sine ...

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 ...

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 ...

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 ...