1. How bad will things get? A symposium.
3. Single-factor Gaussian copula.
4. Avner Greif responds to critics.
5. "Stairway to Heaven" revenues: one guesstimate is $562 million. And they don’t even put it on iTunes.
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I would like to believe Kaletsky is correct about the crisis, but find myself in Soros’ camp.
On the broader issue, however, I am completely mystified by their attitudes and assessment of the cause. What did the central banks expect to happen when you push short term rates to such low levels for so long (including real, negative interest rates for over two years in the US and probably elsewhere)? Bubbles accompanied by bad debt is a certainty given the central bank policies that have been followed. The inflation that is erupting everywhere does not spring forth from nowhere, and it certainly is not the result of the failures of laissez faire economic policies and poor regulation.
The corruption begins at the top of the banking system, not somewhere else further down the food chain.
Clearly, what we need is better price-fixers in the governments’ central banks. If they simply pulled the right economic levers the right way, then everything will be all right.
Seriously, Soros was much more useful as a disruptive force in the marketplace of money than the market of ideas.
And they don’t even put it on iTunes.
Yes they do. From the Stairway article “was a top download in the U.S., after Zeppelin’s first downloadable album launched on iTunes.”
Anybody trying to buy “end-of-the-world” insurance must truly have rocks
in their heads. If the end of the world comes, even just as a “revolutionary
Marxist government taking over Washington,” presumably the issuers of these
forms of insurance will not be functioning sufficiently to pay out.
Regarding copulas I first heard nearly a decade ago that the Swiss banks
were using them for their risk analysis. Curiously, given their spread
to nearly universal usage in the financial markets since then, I find it
odd that it is very hard to find any book, certainly any even advanced
textbook in mathematical finance, that discusses them. But then, these
books have been similarly behind in their acknowledgement of the ubiquity
of fat tails (kurtosis) in financial returns phenomena.
Regarding octopus intelligence, and more broadly that of other animals,
it has always struck me that simply looking at an animal’s eyes might
not be a bad indicator of something. Those of octopi are large and
to me appear to contain definite awareness, although of course this is
highly speculative and intuitive. But I am not at all surprised by the
widespread reports of their various intellectual capabilities, whatever
the actual nature of their consciousnesses.
Barkley Rosser – “Regarding copulas … Swiss banks … I find it
odd that it is very hard to find any book, certainly any even advanced
textbook in mathematical finance, that discusses them. ”
Yeah, Switzerland was ahead of the rest of the world here – the insurance companies as well as the banks. One of the main reasons for this is the excellent financial mathematics group at ETH. I worked in Zurich for an insurance company and when I joined in 2002 copulae were being used. In fact I think insurance companies have been ahead of banks in their understanding and modelling of dependence. I have been quite shocked at the poor quality of some of the modelling some banks have apparently been using – although its difficult to say as the press only report the worst cases and they exaggerate them.
If you are looking for an advanced text book which discusses copulae in a financial context you should have a look at
Quantitative Risk Management: Concepts, Techniques, and Tools by Alex McNeil, Rudiger Frey, and Paul Embrechts. All three authors were at ETH Zurich, but the first two have now moved elsewhere.
More generally have a root around the ETH paged I linked to above and you should find lots of interesting stuff.
“Stairway to Heaven” revenues: one guesstimate is $562 million.
I call bullshit. They attribute all of the revenue of “led zeppelin IV”, the live albums and greatest hit albums to “Stairway to Heaven”. These albums would still be big sellers if they didn’t contain “Stairway to Heaven”.
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