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Welcome to my blog, which was once a mailing list of the same name and is still generated by mail. Please reply via the "comment" links.

Always interested in offers/projects/new ideas. Eclectic experience in fields like: numerical computing; Python web; Java enterprise; functional languages; GPGPU; SQL databases; etc. Based in Santiago, Chile; telecommute worldwide. CV; email.

Personal Projects

Lepl parser for Python.

Colorless Green.

Photography around Santiago.

SVG experiment.

Professional Portfolio

Calibration of seismometers.

Data access via web services.

Cache rewrite.

Extending OpenSSH.

C-ORM: docs, API.

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© 2006-2017 Andrew Cooke (site) / post authors (content).

Transparency Key

From: "andrew cooke" <andrew@...>

Date: Wed, 11 Feb 2009 18:09:31 -0300 (CLST)

http://www.cfapubs.org/doi/pdf/10.2469/faj.v65.n1.4

(PDF, quite simple).

Background:

http://optionarmageddon.ml-implode.com/2009/02/10/markowitz-on-asset-transparency/

http://ftalphaville.ft.com/blog/2009/02/11/52350/marking-to-markowitz

Good discussion at FT (and some random stuff, afaict).

"Gaussian copula derived correlation numbers" refers to how correlated
distributions are handled.  The first google hit for that term is apaper
that says in its abstract: "Gaussian copula is by far the most popular
copula used in the financial industry in default dependency
modeling. However, it has a major drawback — it does not exhibit tail
dependence,
a very important property for copula. The essence of tail dependence is
the interdependence when extreme events occur, say, defaults of corporate
bonds."

(Don't skip that last sentence above)

Andrew

Simpler Version of Above

From: "andrew cooke" <andrew@...>

Date: Sun, 15 Feb 2009 11:01:30 -0300 (CLST)

An easier-to-read article on the "Gaussian copula" etc:
http://www.nytimes.com/2009/01/04/magazine/04risk-t.html?_r=1

Andrew

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