David X. Li

Shanghai Advanced Institute of Finance, SJTU

Managing Director

211 West Huaihai Road, Office 714

Shanghai, NY Shanghai 200030

China

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 6,813

SSRN RANKINGS

Top 6,813

in Total Papers Downloads

8,067

SSRN CITATIONS
Rank 23,480

SSRN RANKINGS

Top 23,480

in Total Papers Citations

32

CROSSREF CITATIONS

10

Scholarly Papers (2)

1.
Downloads 6,988 ( 1,137)
Citation 66

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 6,988 (1,131)
Citation 66

Abstract:

Loading...

On Default Correlation: A Copula Function Approach

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

Abstract:

Loading...

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 1,079 (24,823)
Citation 4

Abstract:

Loading...

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