News Basel II: Numerical instabilities to stabilize banks?

  • Thread starter Thread starter DrDu
  • Start date Start date
  • Tags Tags
    Numerical
AI Thread Summary
The discussion centers on the formulation of correlation in a financial context, emphasizing the preference for a simpler equation, Corr(R) = 0.12(1 + exp(-50 PD)), over a more complex one involving exponential functions. The conversation also references N. N. Taleb's perspective on financial stability, suggesting that having fragile financial systems is preferable to maintaining robust systems that are prone to creating unsustainable bubbles. The focus is on the implications of these mathematical representations for understanding financial stability and risk management.
DrDu
Science Advisor
Messages
6,405
Reaction score
1,002
Oops, I was to quick here. At least, there is no instability. Nevertheless I would write
##\mathrm{Corr}(R)=0.12(1+\exp(-50 \mathrm{PD}))## instead of
Correlation (R) =
0.12 × (1 – EXP (-50 × PD)) / (1 – EXP (-50)) +
0.24 × [1 - (1 - EXP(-50 × PD))/(1 - EXP(-50))]
 
Last edited:
Physics news on Phys.org
Retired quant polymath N. N. Taleb argues, better fragile financials than robust 'bubbles' too big to fail or allow to burst.
 
Similar to the 2024 thread, here I start the 2025 thread. As always it is getting increasingly difficult to predict, so I will make a list based on other article predictions. You can also leave your prediction here. Here are the predictions of 2024 that did not make it: Peter Shor, David Deutsch and all the rest of the quantum computing community (various sources) Pablo Jarrillo Herrero, Allan McDonald and Rafi Bistritzer for magic angle in twisted graphene (various sources) Christoph...
Thread 'My experience as a hostage'
I believe it was the summer of 2001 that I made a trip to Peru for my work. I was a private contractor doing automation engineering and programming for various companies, including Frito Lay. Frito had purchased a snack food plant near Lima, Peru, and sent me down to oversee the upgrades to the systems and the startup. Peru was still suffering the ills of a recent civil war and I knew it was dicey, but the money was too good to pass up. It was a long trip to Lima; about 14 hours of airtime...

Similar threads

Replies
1
Views
2K
Replies
4
Views
3K
Replies
4
Views
3K
Replies
38
Views
10K
Replies
1
Views
1K
Replies
1
Views
3K
Replies
9
Views
3K
Back
Top