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 ...

本研究提出结合可学习Copula函数（Clayton、Frank、Gaussian）与CNN、LSTM及CNN-LSTM深度学习模型的方法，用于竞争风险生存分析。通过模拟数据和真实临床数据验证，发现Clayton和Frank Copula模型在Brier score、准确率和宏F1分数上表现最优，尤其Clayton LSTM模型在模拟数据中 ...

In this paper we consider the large homogeneous portfolio (LHP) approximation with a two-factor Gaussian copula and random recovery rate. In addition, we assume that the earlier the default occurs, ...

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As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. It’s ba-ack. The formula that famously felled Wall Street. The Gaussian copula — with which banks famously ...

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’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 ...

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 ...