Teresa Lo (guest) meinte am 24. Feb, 03:24:
Recipe for Disaster: The Formula That Killed Wall Street
Here's an excerpt from Felix Salmon's article in Wired:
For five years, Li's formula, known as a Gaussian copula function, looked like an unambiguously positive breakthrough, a piece of financial technology that allowed hugely complex risks to be modeled with more ease and accuracy than ever before. With his brilliant spark of mathematical legerdemain, Li made it possible for traders to sell vast quantities of new securities, expanding financial markets to unimaginable levels.They finally have the fall guy.
Mahalanobis antwortete am 24. Feb, 10:56:
It's
a nice remake of the 2005 WSJ article How a Formula Ignited a Market that Burned Some Big Investors but hardly investigative journalism. Eric referred to it back then on this blog. And saying that the Gaussian copula function is "Li's formula" is like saying that somebody who first applied the Haar wavelet to analyse financial data was the one who came up with the formula. Maybe I should work on my comparisons.