Of couples and copulas

Of couples and copulas

Reportagem do Financial Times sobre cópulas e precificação de ativos. Uma versão bem escrita sobre o mesmo tema do artigo da Wired sobre o modelo de CDO usando Gaussian Cópulas. A conclusão:

"Harry Panjer, a professor of statistics and actuarial science who was Li’s mentor at Waterloo, strikes a balance between Taleb’s accusations and the stance of Li. Earlier this year, Panjer told The Toronto Star newspaper: “We have a saying in statistics, ‘All ­models are wrong, but some are useful.’” And David Li’s model was, for a period, profoundly useful."