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 ...
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 ...
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 ...
We propose a family of copula-based multivariate distributions with g-and-h marginals. After studying the properties of the distribution, we develop a two-step estimation strategy and analyze via ...
Huddleston and Pullum (2005) write “the verb agrees with the subject” (p. 31), and for quantificational nouns “the form of the verb depends on the … NP [noun phrase] that is complement to the ...
The aim of this paper is to develop an alternative model for portfolio credit risk to those widely used: CreditRiskC and CreditMetrics. The model aspires to patch the usual weak spots of portfolio ...
As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...
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 ...
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