David X. Li

Shanghai Advanced Institute of Finance, SJTU

Managing Director

211 West Huaihai Road, Office 714

Shanghai, NY Shanghai 200030

China

  • Shanghai Advanced Institute of Finance, SJTU

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SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

On Default Correlation: A Copula Function Approach

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Citation 63

On Default Correlation: A Copula Function Approach

Number of pages: 28 Posted: 09 Dec 1999
David X. Li
Shanghai Advanced Institute of Finance, SJTU
Downloads 6,886 (1,041)
Citation 63

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On Default Correlation: A Copula Function Approach

Posted: 09 Dec 1999
David X. Li
Shanghai Advanced Institute of Finance, SJTU

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2.

Cdo Squared Pricing Using Gaussian Mixture Model with Transformation of Loss Distribution

Number of pages: 27 Posted: 23 Mar 2006
David X. Li and Michael Liang
Shanghai Advanced Institute of Finance, SJTU and Barclays Capital
Downloads 1,074 (23,015)
Citation 4

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CDO Squared, Gaussian Mixture Copula, Implied Loss Distribution, Loss Distribution Transformation