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News Basel II: Numerical instabilities to stabilize banks?

  1. Dec 9, 2014 #1

    DrDu

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    Science Advisor

    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: Dec 9, 2014
  2. jcsd
  3. Dec 10, 2014 #2

    Doug Huffman

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    Gold Member

    Retired quant polymath N. N. Taleb argues, better fragile financials than robust 'bubbles' too big to fail or allow to burst.
     
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