March 7, 2011
In "What the hell is a variance matrix?" I talked about the basics of variance matrices and highlighted challenges for estimating them in finance. Here we look more deeply [...]
January 20, 2011
Gambling Falkenblog has a post called: Why Do People Gamble? This includes the often-stated "problem" that the same people both: pay for insurance pay to gamble Maybe I'm being [...]
January 17, 2011
We think of accidents as abnormal events, but there is "normal accident" theory. We don't think of accidents happening in markets, but they do. That's why it's called a [...]
December 30, 2010
The blog year started in August and consists of 30-something posts. Here is a summary. Most popular Ideas for World Statistics Day A quant review of "The Quants" by [...]
December 20, 2010
David Rowe has a short piece called Regulators Double Down. He argues that risk regulations should be simple at the expense of consistency, rather than complex at the expense [...]
August 25, 2010
When I first came to finance, I kept hearing about "risk models". I wondered, "What the hell is a risk model?" Of course, I didn't say this out loud [...]