David X. Li | |
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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 2007–2008 financial crisis, 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 2007–2008 financial crisis.[2][5] David Li is currently an adjunct professor at the University of Waterloo in the Statistics and Actuarial Sciences department.[6]
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