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Donnelly, Catherine
The Devil is in the tails
: actuarial mathematics and the subprime mortgage crisis
Catherine Donnelly, Paul Embrechts
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.
MAP20077000420
03/05/2010 Volumen 40 NĂºmero 1 - mayo 2010 , p. 1-33
0515-0361
Astin bulletin
Belgium : ASTIN and AFIR Sections of the International Actuarial Association