The word ‘copula’ might still stir up bad memories for anyone in the markets at the time of the 2008 global financial crisis. The Gaussian copula, which was widely used to price collateralised debt ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Never were truer words spoken of a mathematical formula. Out on Friday — some über-Geeky weekend reading for ...

The multivariate distribution of a set of risk factors such as stocks returns, interest rates or volatility surfaces is fully specified by the separate marginal distributions of the factors and by ...