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][5] David Li is currently an adjunct professor at the University of Waterloo in the Statistics and Actuarial Sciences department.
[2] In 2008 Li moved to Beijing where he worked for China International Capital Corporation as the head of the risk management department.
"[10] Kai Gilkes of CreditSights says "Li can't be blamed"; although he invented the model, it was the bankers who misinterpreted and misused it.
[2] Li's paper is called "On Default Correlation: A Copula Function Approach" (2000), published in Journal of Fixed Income, Vol.