Copulas, credit portfolios, and the broken heart syndrome

David X. Li is professor of Finance at the Shanghai Advanced Institute of Finance (SAIF). For more than two decades, he worked at leading nancial institutions in the areas of product de- velopment, risk management, asset/liability management, and investment analytics. He was the chief risk o cer for China International Capital Corporation (CICC) Ltd, head of credit derivative research and analytics at Citigroup and Barclays Capital, and head of modeling for AIG Invest- ments. David has a PhD degree in Statistics from the University of Waterloo, Masters degrees in Eco- nomics, Finance, and Actuarial Science, and a Bachelor’s degree in Mathematics. David is currently an Associate Editor for the North American Actuarial Journal, an adjunct professor at the University of Waterloo, a senior research fellow at Global Risk Institute in Toronto, and a senior advisor to the Risk Management Institute at the National University of Singapore. David was one of the pioneers in credit derivatives. His seminal work of using copula functions for credit port- folio modeling has been widely cited by academic research, broadly used by practitioners for credit portfolio trading, risk management and rating, and well covered by the media (Wall Street Journal, Financial Times, Nikkei, and CBC News).