The formula that killed Wall Street
By Felix Salmon. 2012
252 citations recorded by the source corpus.
Subfields: Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/e4749ae48b71a525a573c8ba6b3bf69fc890b6c2
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In Management Science and Operations Research
- Claudia Czado
- Eike C. Brechmann
- Catherine Donnelly
- Marius Hofert
- Pamela Fennell
- William E. Becker
- Paul Embrechts
- Arthur Charpentier
Citations in the corpus
- Probit Transformation for Nonparametric Kernel Estimation of the Copula Density (2014, background): “For instance, it has been argued that the main reason behind the 2009 global financial crisis was a reckless usage of the Gaussian copula [45].”
- Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, background): “One such approach are the before-mentioned Hierarchical Archimedean copulas, which however suffer from a somehow restrictive structure and are limited to the Archimedean copula class (see, amongst others, Savu and Trede (2010)).”
- Why so many published sensitivity analyses are false: A systematic review of sensitivity analysis practices (2017, methodology): “A simple sensitivity analysis run on the formula used for the pricing of the 528 complex derivative products at the root of the sub-prime mortgage crisis would have revealed the 529 fragility of the formula (Salmon, 2009; Wilmott & Orrell, 2017).”
- Selecting and estimating regular vine copulae and application to financial returns (2012, background): “In particular the Gaussian copula does not allow for heavy tails and the approach suggested by Li (2000) was blamed by many for contributing to the recent financial crisis (see Salmon (2009)).”
- Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “Somewhat surprisingly, the statistical community bought the arguments; see Salmon (2012).”
- The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010, background): “That was the title of a web-article Salmon (2009) that appeared in Wired Magazine on February 2009.”