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Four Theorems and a Financial Crisis
Year Of Publication: 2012
Month Of Publication: June
Pages: 30
Download Count: 10
View Count: 1124
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-5-2013
Publisher: Administrator
Summary
In this paper we give an academic assessment of the ?nancial crisis (crises) from our point of view and discuss where quantitative risk management went wrong. We formulate four mathematical theorems/research areas which have relevance for ?nancial crises in general where the underlying theme is model uncertainty. Related to these theorems, key issues that will be discussed are: ?nancial alchemy on Wall Street, risk aggregation and diversification, tail dependence for a portfolio of losses, and the signi?cance of correlation bounds.
This document is published in International Journal of Approximate Reasoning (volume 54, number 6), August 2013, 701-716.
http://dx.doi.org/10.1016/j.ijar.2012.06.007
Author(s)
Embrechts, Paul Sign in to follow this author
Das, Bikramjit Sign in to follow this author
Fasen, Vicky Sign in to follow this author
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