Posts tagged as:

CDO

The emperor's clothes

April 29, 2010

One of the problems with the latest mess is that the financial press and more specifically financial bloggers have built up a considerable amount of “[wall] street cred” through accurate and intelligent reporting on the financial crisis. In one sense, it’s amazing that they were able to gain such a foothold (I humbly include TGR) […]

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More derivative witch hunts

November 17, 2009

Going through the FT's original post on exchange traded currency notes, I saw a couple of sentences that really bothered me. One thing we do not need right now are witch hunt statements without basis (a point especially compounded by the fact that the FT completely misunderstood how these products worked, even as they wrote […]

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Deconstructing the Gaussian copula, part III

August 11, 2009

The intuition behind copula models: dependence, correlation, single factors and more.

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Deconstructing the Gaussian copula, part II

July 9, 2009

A math-free introduction to CDO pricing.

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Deconstructing the Gaussian copula, part I

June 5, 2009

A number of misconceptions about the Gaussian copula are addressed.

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