The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis

By Catherine Donnelly, Paul Embrechts. ASTIN Bulletin: The Journal of the International Actuarial Association, 2010

151 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/924f6cd9a391b47313b9a123a432925f3ec95a79

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Marius Hofert
2. Paul Embrechts
3. Andrew J. Patton
4. William T. Ziemba
5. Yanqin Fan
6. Xiaohong Chen
7. Fabrizio Durante
8. Artem Prokhorov

In Finance

1. Marius Hofert
2. Paul Embrechts
3. Andrew J. Patton
4. Eike C. Brechmann
5. Claudia Czado
6. Kjersti Aas
7. Yanqin Fan
8. William T. Ziemba

Citations in the corpus

• Machine Learning Interpretability: A Survey on Methods and Metrics (2019, background): “On top of that, there is evidence that incorrect modeling assumptions were, at least, partially responsible for the recent mortgage crisis [75].”
• Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “For some of this QRM-relevant background, see 12 Paul Embrechts, Marius Hofert Donnelly and Embrechts (2010).”