Risk

Beyond the Gaussian copula: stochastic and local correlation

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 ...
Risk

Modeling overnight and daytime returns using a multivariate generalized autoregressive conditional heteroskedasticity copula model

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
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 ...
Insurancenewsnet.com

Recent Findings from University of Calgary Highlight Research in Risk Management (A Novel Stochastic Copula Model for the Texas Energy Market): Insurance – Risk Management

2025 AUG 07 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News-- A new study on risk management is now available. According to news originating from Calgary, Canada, by NewsRx ...
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 ...