Posts tagged as:

Gaussian copula

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 and a half

August 11, 2009

An aside on static recovery assumptions in CDO pricing.

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Deconstructing the Gaussian copula, part II

July 9, 2009

A math-free introduction to CDO pricing.

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Monte Carlo: house of cards?

May 8, 2009

The WSJ recently ran apiece on Monte Carlo risk management: Here is how a typical Monte Carlo retirement-planning tool might work: The user enters information about his age, earnings, assets, retirement-plan contributions, investment mix and other details. The calculator crunches the numbers on hundreds or thousands of potential market scenarios, guided by assumptions about inflation, [...]

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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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