Date: March 17th, 2009

Risk management’s perpetual-motion machine: Part 3, the epidemic

17 March, 2009 (09:22) | Capital markets, Subprime, Theory, US News | No comments

[Continued from last week's Part 2 and Part 1.]
 
Thus far in our story, via a terrific Wired Magazine article, mathematician David X. Li had introduced to the all-too-credulous world a risk management formula predicated on the beguiling notion that what the implied historical correlation among a class of risks – say, the correlation between Alice [...]