Risk

Perturbed Gaussian copula: introducing the skew effect in co-dependence

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 ...
Mother Jones

The 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 ...
The Financial Times

Building a better Gaussian copula

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 ...
Reuters

The dangerous Gaussian copula function

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 ...
The Financial Times

Copula culture

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 ...
Risk

Pricing and hedging basket credit derivatives in the Gaussian copula

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 ...
The Economist

In defense of the Gaussian copula

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 ...