... hear the words of Paul Volker, quoted the other day in
the Wall Street Journal: "The market was being run by
mathematicians that didn't know financial markets. And you
keep hearing, you know, god, that event should only happen
once every hundred years, according to my model. But those
every hundred years events are coming along every two or
three years, which should raise some questions."
Commentary on the model developed for layering debt:
"Trouble awaits those who blindly trust the model's output
instead of recognizing that they are making a bet based
partly on what they told the model they think will happen.
[Model creator David Li] worries that 'very few people
understand the essence of the model.'"
http://infoproc.blogspot.com/2005/09/gaussian-copula-and-credit-derivatives.html
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