A formula for economic calamity.

• Autores: David H. Freedman
• Localización: Scientific American, ISSN 0036-8733, Vol. 305, Nº. 5, 2011, págs. 76-79
• Idioma: inglés
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• Resumen

  • The article discusses the development of mathematical models which are used by financial investment firms, looking both at models which were used prior to the 2008 stock market crash and models which were developed to take into account market forces in order to provide more conservative estimates. Financial model experts such as Marco Avellaneda, David Colander, and Robert Jarrow says that early risk models did not account for liquidity or systemic risk. Darrell Duffie, a finance professor, argues that scenario stress testing could be more effective than using mathematical models.