I’ve been reading about Wall Street’s fabulous Gaussian copula function for some time, but aside from a vague notion that it was a rocket science method of measuring risk, I’ve never had the ...

The Gaussian copula is not an economic model, but it has been similarly misused and is similarly demonised. In broad terms, the Gaussian copula is a formula to map the approximate correlation ...

The Gaussian Copula and the Material Cultures of Modelling, Donald MacKenzie and Taylor Spears present a history of the development of the one-factor Gaussian copula model, which is used to price ...

He’s got an update of his model in the July issue of Risk: In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down.

I’m not sure which is more flattering: someone getting the Gaussian copula function tattooed across his arm , or Donald MacKenzie titling his latest paper after my Wired story on that function.

A Gaussian copula is often used, particularly with the correlation evolving stochastically over time. 2. ... By modeling Apple, IBM, and GE with this approach, ...

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 ...

Despite its simplicity, the popular one-factor Gaussian copula model remains the market standard for the valuation of collateralized debt obligation tranches and nth-to-default trades. However, it ...

management technology to the global credit markets, has extended the functionality of its credit derivative valuation software to include a new correlated recovery model allowing calibration to a ...