The quants weren't exactly out on the trading floor, however. The best of them still spent their days writing papers, crunching numbers, applying their academic expertise to the world of business. Li had come to New York to work for a consultancy called the RiskMetrics Group, which had been spun out of JP Morgan, but he was still thinking about life, death and love. In 2000, he published a paper in the prestigious Journal of Fixed Income that gained some serious attention. In it, Li performed a most elegant trick. Borrowing from his work in actuarial science and insurance and his knowledge of the broken-heart syndrome, he attempted to solve one of Wall Street quants' most intractable problems: default correlation.
然而，定量金融家事实上并没有进入交易大厅。他们中的杰出人才仍旧在写论文，研究数字，把他们的理论知识运用到商业领域。李祥林来到纽约，在咨询公司RiskMetrics集团工作。该集团是从JP摩根(JP Morgan)独立出来的，但他仍然还是在考虑生、死和爱。2000年，他在著名的《固定收入期刊》(Journal of Fixed Income)上发表了一篇论文，引发了人们的强烈关注。在报告中，李祥林玩了一个非常优雅的把戏。借助于他在精算学和保险学以及对心碎症状的知识，他试图解决华尔街定量金融家最棘手的问题：违约相关性。