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 ...
A copula-based simulation model for supply portfolio risk in the presence of dependent breaches of contracts is introduced in this paper. We demonstrate our method for a supply-chain contract ...
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 ...
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