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 ...

This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate ...

We derive two types of Akaike information criterion (AIC)-like model-selection formulae for the semiparametric pseudo-maximum likelihood procedure. We first adapt the arguments leading to the original ...

We propose a novel approach for the computation of the probability distribution of a counting variable linked to a particular kind of hierarchical multivariate copula function called a clusterized ...