copula : Definition, Usages, News and More
- n an equating verb (such as `be' or `become') that links the subject with the complement of a sentence
- In 1998, before Li had even invented his copula function, Paul Wilmott wrote that "the correlations between financial quantities are notoriously unstable.
- I read Felix Salmon's article "The Formula That Killed Wall Street" quite thoroughly and all I can conclude is that the Gaussian copula formula was a sham and those who exploited .
- You might want to go back a bit and check out the discussion on Gaussian copula function and its failure to provide insightful information on correlation and more appropriately risk.
News & Articles
- How Could The Model That Blew Up Wall Street Blow Up Wall Street?
One of the alleged culprits of the financial crisis is the Gaussian Copula, a pretty straightforward probability model. All this model does is map the probabilities of individual events into the probability of several events happening. For example, it takes the probabilities of individual mortgages defaulting and determines the probability that all mortgages will default. For those holding ...
Aug. 1, 2013 - Forbes