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The Devil is in the tails : actuarial mathematics and the subprime mortgage crisis
Recurso electrónico / electronic resource
MAP20150026903
Donnelly, Catherine ‌
The Devil is in the tails : actuarial mathematics and the subprime mortgage crisis / Catherine Donnelly, Paul Embrechts
Sumario: In the aftermath of the 2007-2008 financial crisis, there has been criticism of mathematics and the mathematical models used by the finance industry. We answer these criticisms through a discussion of some of the actuarial models used in the pricing of credit derivatives. As an example, we focus in particular on the Gaussian copula model and its drawbacks. To put this discussion into its proper context, we give a synopsis of the financial crisis and a brief introduction to some of the common credit derivatives and highlight the difficulties in valuing some of them
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 1-33
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