Financial Markets

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David Li and the Gaussian Copula

March 29th, 2009 · No Comments · Markets, Physics

Gaussian copula and credit derivatives Steven Hsu, Prof of Physicss, Univ of Oregon Monday, September 12, 2005 This WSJ article describes a mathematical innovation that helped create the now huge market for credit derivatives. Credit derivatives let banks, hedge funds and other investors trade the risk associated with credit defaults (i.e. bankruptcy of bond issuers). Just as [...]

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