Widespread Failure of the Gaussian Copula Valuation Model is at Root of Credit Turmoil, Says Quantifi Survey

There has been a widespread failure of the Gaussian copula valuation model in the credit derivatives market, according to a recent survey by analytics and risk management solution provider Quantifi. Rohan Douglas, CEO of the vendor, explains that the failure of the standard one factor models that are widely used to price synthetic collateralised debt...

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