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Recipe for Disaster: The Formula That Killed Wall Street
- kqr2 18y agoInteresting commentary on the Gaussian Copula Formula in 2005: http://infoproc.blogspot.com/2005/09/gaussian-copula-and-credit-derivatives.html http://infoproc.blogspot.com/2005/09/gaussian-copula-and-cre...
- jibiki 18y agoIt's interesting that Li himself thought knew traders were trusting the model too much. In theory, this knowledge could have made him a lot of money, but in practice it's probably difficult to correctly short the market (since he couldn't really know when the collapse was coming, or how big it would be.)
- biohacker42 18y agoI've red numerous Wired articles which have butchered subject matter I am an expert on. And this has completely turned me off from reading Wired articles on things I am interested in, but don't know enough to know when they are oversimplifying, embellishing, or just plain getting things wrong. I tried reading this, because I do want to know, but I got that sinking feeling of being BSed and gave up.
- gaius 18y agoKinda reminds me how everyone demonized Black-Scholes when LTCM collapsed.
- andylei 18y agoi'm generally skeptical when people claim they have discovered the single X that caused Y, especially when Y is this particular Wall Street collapse. i don't think this article gives a particularly convincing argument about why this formula single handedly "killed Wall Street".
- jdrock 18y agoIs it the formula that killed Wall Street or an inability or unwillingness to recognize its limitations? Sounds like the latter.
- djahng 18y agothe formula seems to be missing a closing parenthesis