Sat. July 31, 2010
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Insurance News Net (press release)
July 7, 2010
"As an example, we focus in particular on the
Gaussian copula model and its drawbacks. To put this
discussion into its proper context, we give a synopsis of ...
Insurance News Net (press release)
July 7, 2010
"As an example, we focus in particular on the
Gaussian copula model and its drawbacks. To put this
discussion into its proper context, we give a synopsis of ...
OpEdNews
May 20, 2010
People were all too eager to believe another mathematician,
David X. Li, when he devised something called the
Gaussian copula Function, which became the ...
Housing Wire
May 17, 2010
Called the Gaussian
copula function, a name that only a statistician could love, this wonder of applied-statistics-meets-financial-
engineering is largely ...
Investing Contrarian
May 13, 2010
Now this crisis had many parents, with the cast of characters including
Alan Greenspan, Bob Rubin, Phil Gramm,
Gaussian copula models, negative basis trades ...
VentureBeat
May 7, 2010
Don't confuse yesterday's automated trades with the Gaussian copula function blamed by many experts for our current recession. At 2:45 PM New York time on ...
BusinessWeek
April 25, 2010
In March 2000, as stock-
market indexes were peaking, professor
David X. Li brought us his
Gaussian copula formula, which used correlations to price ...
Zawya
April 23, 2010
... the various stochastic process (charterer default, break-even analysis, and ship depreciation) are correlated using a multi-factor Gaussian copula. ...
Enter Stage Right
April 18, 2010
The trouble with this function, a kind of Gaussian copula function, was that it assumed the correlations were stable. As we now know, they weren't. ...
Firedoglake (blog)
April 13, 2010
They can gufess at the direction the price of Pork Bellies based on whatever tarot card/Gaussian copula/tip from a hog merchant they like. ...
Enter Stage Right
April 18, 2010
The trouble with this function, a kind of Gaussian copula function, was that it assumed the correlations were stable. As we now know, they weren't. ...
Firedoglake (blog)
April 13, 2010
They can gufess at the direction the price of Pork Bellies based on whatever tarot card/Gaussian copula/tip from a hog merchant they like. ...
ScienceBlogs (blog)
April 8, 2010
In her opinion,
economics failed to catch the bubble, and even contributed to it due to a slavish devotion to
mathematical theory (eg,
Gaussian copula ...
Barnstable Patriot
April 1, 2010
The technique Dr. Li employed was called the Gaussian copula function. The result was a series of equations that put a percentage figure on the possibility ...
Personal Finance
March 14, 2010
Seeking Alpha (blog)
February 10, 2010
... perhaps in a Gaussian copula structure and use that to run correlations at each step between the instruments; you take the distribution you generate and ...
OregonLive.com
February 6, 2010
"In 2000, while working at JP Morgan, Li managed to apply a piece of
Mathematics called a Gaussian
copula function to the creation of CDOs ... in plain ...
The Guardian
February 5, 2010
But of course the algorithms (known as Gaussian
copula functions) that the
banks used to assume that they could create risk-free bonds from sub-prime loans ...
Moneylife Personal Finance Magazine
January 28, 2010
A large part of the book is dedicated to highlighting the nasty aspects of the applications of various financial theories such as Gaussian copula which was ...
Atlantic Online
January 12, 2010
... excessive reliance on
mathematical models like the VAR and the dread Gaussian
copula function, which led to the underpricing of unpredictable forms of ...
The Moderate Voice
December 29, 2009
Maybe we should teach kids
Gaussian copula function or CDO, and fractions wouldn't be a problem. A year ago, it was hardly unthinkable that a
math wizard ...
Seeking Alpha (blog)
December 28, 2009
And the models used to evaluate
financial instruments - such as the
Gaussian copula formula for CDOs - are inherently flawed. ...
TheStreet.com
December 7, 2009
This was the case, initially, with the Black-Sholes model that eventually brought us the Long Term Capital Management failure and the "Gaussian copula" ...
TIME
December 1, 2009
... prices revealed the (assumed to be constant) correlation of latent variables which determined defaults (the Gaussian copula) was critical to the crisis. ...
TIME
December 1, 2009
... prices revealed the (assumed to be constant) correlation of latent variables which determined defaults (the Gaussian copula) was critical to the crisis. ...
Contre Info
October 2, 2009
... such as Value-at-Risk (VaR) models for measuring risk exposures (which we've discussed elsewhere) or the Gaussian copula function for quantifying the ...
New York Times
October 1, 2009
... models for measuring risk exposures (which we've discussed elsewhere) or the "Gaussian copula functionâ for quantifying the risk of a pool of assets. ...
MIT Technology Review (blog)
September 30, 2009
We find that this empirical copula is well-approximated by a Gaussian copula. We consider the possibility that the full n-point copula is also Gaussian and ...
istockAnalyst.com (press release)
September 22, 2009
Gaussian copula? Using default rates for loans on balance sheet for those that are sold to third parties? Ugh. But think of something even more pervasive. ...
Los Angeles Times
September 7, 2009
The Gaussian copula model, which was intended to measure default probability, failed to identify toxic structured securities and led to massive errors in ...
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September 7, 2009
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September 6, 2009
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August 5, 2009
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August 5, 2009
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Newsweek
August 1, 2009
But the real numerical necromancy in last year's crisis involved "the Gaussian copula," a piece of statistical legerdemain that convinced legions of ...
Lincoln Journal Star
July 28, 2009
And one person introduced to
Wall Street a
Gaussian copula function, a formula that caused speculators to create the banking
mortgage meltdown crisis unlike ...
guardian.co.uk
July 18, 2009
Watching the Watchers.org
July 17, 2009
Similarly,
investment banks used financial
tools to model options and derivatives (for a great
discussion, see this Wired article on the
Gaussian copula ...
Atlantic Online
July 15, 2009
... have a similar problem (though I have recently tried my hand here: http://www.thisisthegreenroom.com/2009/deconstructing-the-gaussian-copula-part-ii/). ...
Reuters Blogs
July 15, 2009
J, at This is the Green Room, is in the middle of a series entitled âÂÂDeconstructing the Gaussian copulaâÂÂ. Part 1 was here, Part 3 is on its way, ...
