David X. Li | |
|---|---|
| Alma mater | Laval University University of Waterloo |
| Occupation(s) | Actuary Quantitative analyst |
David X. Li (Chinese: 李祥林; pinyin: Lǐ Xiánglín[1] born Nanjing, China in the 1960s) is a Chinese-born Canadian quantitative analyst and actuary who pioneered the use of Gaussian copula models for the pricing of collateralized debt obligations (CDOs) in the early 2000s.[2][3][4] The Financial Times has called him "the world’s most influential actuary",[1] while in the aftermath of the global financial crisis of 2008–2009, to which Li's model has been partly credited to blame,[1][2] his model has been called a "recipe for disaster" in the hands of those who did not fully understand his research and misapplied it.[2] Widespread application of simplified Gaussian copula models to financial products such as securities may have contributed to the global financial crisis of 2008–2009.[2][5] David Li is currently an adjunct professor at the University of Waterloo in the Statistics and Actuarial Sciences department.[6]
- ^ a b c Jones, Sam (April 24, 2009). "Of couples and copulas". Financial Times. Archived from the original on 2009-04-25.
- ^ a b c d Salmon, Felix (March 2009). "Recipe for Disaster: The Formula That Killed Wall Street". Wired Magazine. 17 (3). Wired.
- ^ Li, David X. (2000). "On Default Correlation: A Copula Function Approach". Journal of Fixed Income. 9 (4): 43–54. doi:10.3905/jfi.2000.319253. S2CID 167437822. Archived from the original on 2008-04-30.
- ^ Kelly, Cathal (18 March 2009). "Meet the man whose big idea felled Wall Street". The Toronto Star.
- ^ Hornbrook, Mike. "Was David Li the guy who 'blew up Wall Street?'". CBC News Canada.
- ^ Cite error: The named reference
S&ASwas invoked but never defined (see the help page).