| Andrew Cooke | Contents | Latest | RSS | Twitter | Previous | Next

C[omp]ute

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.

Last 100 entries

LPIR - Steganography in Practice; How I Am 6; Clear Explanation of Verizon / Level 3 / Netflix; Teenage Girls; Formalising NSA Attacks; Switching Brakes (Tektro Hydraulic); Naim NAP 100 (Power Amp); AKG 550 First Impressions; Facebook manipulates emotions (no really); Map Reduce "No Longer Used" At Google; Removing RAID metadata; New Bike (Good Bike Shop, Santiago Chile); Removing APE Tags in Linux; Compiling Python 3.0 With GCC 4.8; Maven is Amazing; Generating Docs from a GitHub Wiki; Modular Shelves; Bash Best Practices; Good Emergency Gasfiter (Santiago, Chile); Readings in Recent Architecture; Roger Casement; Integrated Information Theory (Or Not); Possibly undefined macro AC_ENABLE_SHARED; Update on Charges; Sunburst Visualisation; Spectral Embeddings (Distances -> Coordinates); Introduction to Causality; Filtering To Help Colour-Blindness; ASUS 1015E-DS02 Too; Ready Player One; Writing Clear, Fast Julia Code; List of LatAm Novels; Running (for women); Building a Jenkins Plugin and a Jar (for Command Line use); Headphone Test Recordings; Causal Consistency; The Quest for Randomness; Chat Wars; Real-life Financial Co Without ACID Database...; Flexible Muscle-Based Locomotion for Bipedal Creatures; SQL Performance Explained; The Little Manual of API Design; Multiple Word Sizes; CRC - Next Steps; FizzBuzz; Update on CRCs; Decent Links / Discussion Community; Automated Reasoning About LLVM Optimizations and Undefined Behavior; A Painless Guide To CRC Error Detection Algorithms; Tests in Julia; Dave Eggers: what's so funny about peace, love and Starship?; Cello - High Level C Programming; autoreconf needs tar; Will Self Goes To Heathrow; Top 5 BioInformatics Papers; Vasovagal Response; Good Food in Vina; Chilean Drug Criminals Use Subsitution Cipher; Adrenaline; Stiglitz on the Impact of Technology; Why Not; How I Am 5; Lenovo X240 OpenSuse 13.1; NSA and GCHQ - Psychological Trolls; Finite Fields in Julia (Defining Your Own Number Type); Julian Assange; Starting Qemu on OpenSuse; Noisy GAs/TMs; Venezuela; Reinstalling GRUB with EFI; Instructions For Disabling KDE Indexing; Evolving Speakers; Changing Salt Size in Simple Crypt 3.0.0; Logarithmic Map (Moved); More Info; Words Found in Voynich Manuscript; An Inventory Of 3D Space-Filling Curves; Foxes Using Magnetic Fields To Hunt; 5 Rounds RC5 No Rotation; JP Morgan and Madoff; Ori - Secure, Distributed File System; Physical Unclonable Functions (PUFs); Prejudice on Reddit; Recursion OK; Optimizing Julia Code; Cash Handouts in Brazil; Couple Nice Music Videos; It Also Works!; Adaptive Plaintext; It Works!; RC5 Without Rotation (2); 8 Years...; Attack Against Encrypted Linux Disks; Pushing Back On NSA At IETF; Summary of Experimental Ethics; Very Good Talk On Security, Snowden; Locusts are Grasshoppers!; Vagrant (OpenSuse and IDEs); Interesting Take On Mandela's Context; Haskell Cabal O(n^2) / O(n) Fix; How I Am 4

© 2006-2013 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

Comment on this post