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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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Irrational markets: V-shaped edition

June 8, 2009

The market shot up late this afternoon because Paul Krugman stated: “I would not be surprised if the official end of the U.S. recession ends up being, in retrospect, dated sometime this summer,” he said in a lecture today at the London School of Economics. “Things seem to be getting worse more slowly. There’s some […]

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The New Deal or: How I Learned To Stop Worrying and Love The Bomb

February 2, 2009

Would Americans trade a short severe recession for a long and grueling (but not as extreme) depression? Harold Cole, a professor of economics at the University of Pennsylvania, and Lee Ohanian, a professor of economics and director of the Ettinger Family Program in Macroeconomic Research at UCLA, argue in new research summarized in today's WSJ […]

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