Articles by David Li
Correlation breakdowns, spread positions and central counterparty margin models
The authors investigate correlation behavior during adverse market conditions and the potential impact on CCP margins, finding that such breakdowns appear to be more common than expected.
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…