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 ...

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 ...

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.

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 ...

Like any elegant model, the Gaussian copula has some value. If you appreciate the local conditions, it provides a convenient way to describe a complex relationship.

In our opinion, these difficulties have prevented practitioners from turning a theoretically sound model into a workable pricing tool. This paper aims to fill this gap by giving routes toward a ...

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 ...

The new model, Quantifi Correlated Recovery model, extends the one-factor Gaussian copula model to incorporate what Quantifi calls "more realistic treatment of Only users who have a paid subscription ...

But you can become over-dependent on numbers, as Wall Street became over-dependent on David X. Li's Gaussian copula, and end up being really, really wrong about reality.

In this analysis, we implemented a stochastic correlation model for Apple (AAPL), IBM, and General Electric (GE) using a Gaussian copula with an Ornstein-Uhlenbeck process.