Economia
"... A year ago, it was hardly unthinkable that a math wizard like David X. Li might someday earn a Nobel Prize. After all, financial economists—even Wall Street quants—have received the Nobel in economics before, and Li's work on measuring risk has had more impact, more quickly, than previous Nobel Prize-winning contributions to the field. Today, though, as dazed bankers, politicians, regulators, and investors survey the wreckage of the biggest financial meltdown since the Great Depression, Li is probably thankful he still has a job in finance at all. Not that his achievement should be dismissed. He took a notoriously tough nut—determining correlation, or how seemingly disparate events are related—and cracked it wide open with a simple and elegant mathematical formula, one that would become ubiquitous in finance worldwide. 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. His method was adopted by everybody from bond investors and Wall Street banks to ratings agencies and regulators. And it became so deeply entrenched—and was making people so much money—that warnings about its limitations were largely ignored. Then the model fell apart. Cracks started appearing early on, when financial markets began behaving in ways that users of Li's formula hadn't expected. The cracks became full-fledged canyons in 2008—when ruptures in the financial system's foundation swallowed up trillions of dollars and put the survival of the global banking system in serious peril..." -- Texto completo: http://www.wired.com/techbiz/it/magazine/17-03/wp_quant
- Teoria Econômica Sob Investigação
Recovering Austrian Economics January 19, 2012 By W. Winston Elliott III 23 Comments by Harry Veryser An economist is someone who sees something happen in practice and wonders if it would work in theory. —Ronald Reagan Does economics...
- Como Mais Regulamentações Provocam Mais Risco
The Dodd-Frank Act versus the Rule of Law October 9, 2012 In response to the 2008 financial collapse, Congress passed the Dodd-Frank Wall Street Reform and Consumer Protection Act. Dodd-Frank increased regulation of banks, stockbrokers, insurers...
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Links de artigos que examinam a contribuição de modelos estadísticos quantitativos de modelar risco e incerteza para a emergência da crise atual: A dash of this integer and a dab of that regression March 30, 2009 11:11 PM by Tim Swanson Wondering...
- Modelo Errado
Financial meltdown blamed on risk models Web posted at: 2/14/2009 9:20:18 Source ::: FINANCIAL TIMES By Norma Cohen The failure of banks to count, manage and hedge their risks over the past decade is responsible both for the fantastic growth before...
- Uma Proposta De Reforma Do Sistema Financeiro
Novo artigo de Alberto Giovanni, que parte de alguns princípios fundamentais, como a importância de informação assimétrica e falta de liquidez na geração de crises financeiras: "In this paper I highlight some fundamental characteristics of the...
Economia
A formula que destruo Wall Street
"... A year ago, it was hardly unthinkable that a math wizard like David X. Li might someday earn a Nobel Prize. After all, financial economists—even Wall Street quants—have received the Nobel in economics before, and Li's work on measuring risk has had more impact, more quickly, than previous Nobel Prize-winning contributions to the field. Today, though, as dazed bankers, politicians, regulators, and investors survey the wreckage of the biggest financial meltdown since the Great Depression, Li is probably thankful he still has a job in finance at all. Not that his achievement should be dismissed. He took a notoriously tough nut—determining correlation, or how seemingly disparate events are related—and cracked it wide open with a simple and elegant mathematical formula, one that would become ubiquitous in finance worldwide. 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. His method was adopted by everybody from bond investors and Wall Street banks to ratings agencies and regulators. And it became so deeply entrenched—and was making people so much money—that warnings about its limitations were largely ignored. Then the model fell apart. Cracks started appearing early on, when financial markets began behaving in ways that users of Li's formula hadn't expected. The cracks became full-fledged canyons in 2008—when ruptures in the financial system's foundation swallowed up trillions of dollars and put the survival of the global banking system in serious peril..." -- Texto completo: http://www.wired.com/techbiz/it/magazine/17-03/wp_quant
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- Teoria Econômica Sob Investigação
Recovering Austrian Economics January 19, 2012 By W. Winston Elliott III 23 Comments by Harry Veryser An economist is someone who sees something happen in practice and wonders if it would work in theory. —Ronald Reagan Does economics...
- Como Mais Regulamentações Provocam Mais Risco
The Dodd-Frank Act versus the Rule of Law October 9, 2012 In response to the 2008 financial collapse, Congress passed the Dodd-Frank Wall Street Reform and Consumer Protection Act. Dodd-Frank increased regulation of banks, stockbrokers, insurers...
-
Links de artigos que examinam a contribuição de modelos estadísticos quantitativos de modelar risco e incerteza para a emergência da crise atual: A dash of this integer and a dab of that regression March 30, 2009 11:11 PM by Tim Swanson Wondering...
- Modelo Errado
Financial meltdown blamed on risk models Web posted at: 2/14/2009 9:20:18 Source ::: FINANCIAL TIMES By Norma Cohen The failure of banks to count, manage and hedge their risks over the past decade is responsible both for the fantastic growth before...
- Uma Proposta De Reforma Do Sistema Financeiro
Novo artigo de Alberto Giovanni, que parte de alguns princípios fundamentais, como a importância de informação assimétrica e falta de liquidez na geração de crises financeiras: "In this paper I highlight some fundamental characteristics of the...