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 ...

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 ...

We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic ...

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 ...

Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, has extended the functionality of its credit derivative valuation software to include a new ...

We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and ...

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 ...