A year ago, it was hardly unthinkable that a math wizard like David X. Li might someday earn a Nobel Prize. After all, financial economists—even Wall Street quants—have received the Nobel in economics ...

Copula theory provides a unifying framework for modelling the dependence structure among multiple random variables independently of their marginal distributions. At its core is the decomposition of ...

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 constitute a versatile framework for describing and analysing the dependence structure among multiple random variables, independently of their marginal distributions. Underpinned by ...

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 ...

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 ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. What this paper reveals that really stands out is that the quant community also didn’t, and doesn’t, rate the ...

This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate ...

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