Abstract:  The Gaussian copula remains a standard model for pricing multi-name credit derivatives and measuring portfolio credit risk. In practice, the model is most widely used in its single-factor form, though this model is too simplistic to match the pattern of implied correlations observed in market prices of CDOs, and too simplistic for credible risk measurement. We discuss the use of multifactor versions of the model. An obstacle to using a multifactor model is the efficient calculation of the loss distribution. We develop fast and accurate approximations for this problem. This work is done under the collaboration of Prof. Paul Glasserman.