主题：今天Wired杂志介绍金融危机的始作俑David Li -- 心文连博
家园 这是一篇很好的文章 Wired 常常会冒出几篇非常棒的文章。
这一篇就是。值得好好读读。内容翔实，深入浅出，立场也公正，尤其是这一句，
"Li can't be blamed," says Gilkes of CreditSights. After all, he just invented the model. Instead, we should blame the bankers who misinterpreted it. And even then, the real danger was created not because any given trader adopted it but because every trader did. In financial markets, everybody doing the same thing is the classic recipe for a bubble and inevitable bust.家园 笑死我了，写得真好玩 ～～～ 家园 中文名字叫这个 这人叫 李祥林 中金公司执行总经理 首席风险官负责风险管理组和数量分析组 真正的大牛。
http://blog.sina.com.cn/s/blog_4c31ffb80100aq1r.html
家园 太传奇了。以后可以拍一部电影，肯定比21点，美丽人生好看 家园 Gaussian copula? 这世界上有三种lies 1. lies
2. damn lies
3. statistics
家园 OK, 老李已经有了自己的wiki了 http://en.wikipedia.org/wiki/David_X._Li
家园 原来这就是tg的金融原子弹~ 大家有兴趣可以看两眼
On Default Correlation: A Copula Function Approach
by David X. Li of The RiskMetrics Group
April 2000
Abstract: This paper studies the problem of default correlation. We first introduce a random variable called "time-until-default" to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation coefficient between their survival times. Then we argue why a copula function approach should be used to specify the joint distribution of survival times after marginal distributions of survival times are derived from market information, such as risky bond prices or asset swap spreads. The definition and some basic properties of copula functions are given. We show that the current CreditMetrics approach to default correlation through asset correlation is equivalent to using a normal copula function. Finally, we give some numerical examples to illustrate the use of copula functions in the valuation of some credit derivatives, such as credit default swaps and first-to-default contracts.
家园 这也太直白了吧 在北京出任中国国际金融有限公司风险管理主管
～～ 不得不阴谋论一把了
家园 Wired杂志用事实证明TG一手策划了这场全球性的危机. TG培养出了David Li,然后把他送往美国,让他在那里发明了CDS,由此造就了今天波及全球摧毁华尔街的金融危机.而且他居然在危机大爆发前就回到了中国?天哪,这一定是个巨大的阴谋.TG真阴险,让这个人在危机爆发前还在美国忽悠.华尔街中了TG的木马计了.为什么好莱坞要播出大片<木马屠城>?就是因为好莱坞早就看到了TG的不良用心,知道TG把大量的所谓高级人才送往美国一定蕴涵着一个巨大的阴谋.所以通过公开方式向全体美国人,向全世界表明TG有一个摧毁自由民主世界的巨大阴谋.但是百密一疏啊,还是让TG得逞了.所以,现在是全世界爱好自由民主的人民认清TG真面目的机会到了.
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