Posts tagged as:

copula

Stat is magic

October 13, 2011

I really love the latest post on Lessons from my Twenties, called Stat Is Magic. Sometimes, things are better left as magic.

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Deconstructing the Gaussian copula, part II

July 9, 2009

A math-free introduction to CDO pricing.

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Copulas in squash

June 15, 2009

Ball marks on a squash court form an interesting scatterplot.

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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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Visualizing randomness

May 19, 2009

Daniel Becker's diploma dissertation was on the visualization of randomness - finding concrete ways to map the highly abstract idea of random behaviors and patterns. The resulting portfolio is fascinating, even for someone without a statistical background, in particular for the way in which it lends a semblance of order to these inherently chaotic processes. [...]

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Wilmott on copulas

February 26, 2009

Paul Wilmott has responded ("Copulas and Cults") to the Wired article on copulas I mentioned recently. His tone is grave: "Far more serious, because it extends to all of finance not just to a single model, is the poor education that people get in university financial engineering programs and also the blind-following-the-blind behaviour that is [...]

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Signs of the apocalypse

February 24, 2009

Wired has published an article attacking the Gaussian copula: Recipe for Disaster: The Formula That Killed Wall Street. It's a very typical "hate the game, not the player" article which finds fault with a tool rather than the people who use it. Not that I completely disagree with the critique - but imagine my surprise [...]

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