- Derman E., ‘Model Risk’ Goldman Sachs Quantitative Strategies
Research Notes, April 1996. - CNBC interview, 1 July 2005.
- According to MacKenzie et al (2012): ‘The crisis was caused not
by “model dopes”, but by creative, resourceful, well-informed and
reflexive actors quite consciously exploiting the role of models in
governance.’ They quote several examples of people gaming the
calculations to ensure that CDOs appeared both profitable and
low-risk. - Tavakoli J., ‘Comments on SEC Proposed Rules and Oversight
of NRSROs’, Letter to Securities and Exchange Commission, 13
February 2007. - MacKenzie D. et al., ‘“The Formula That Killed Wall Street”?
The Gaussian Copula and the Cultures of Modelling’, 2012. - New Directions for Understanding Systemic Risk (National
Academies Press, Washington DC, 2007). - Chapple S., ‘Math expert finds order in disorder, including stock
market’, San Diego Union-Tribune, 28 August 2011. - May R., ’Epidemiology of financial networks. Presentation at
LSHTM John Snow bicentenary event, April 2013. Available on
YouTube. - For background on May’s involvement see previous note.
- ‘Was tulipmania irrational?’ The Economist, 4 October 2013.
- Goldgar A., ‘Tulip mania: the classic story of a Dutch financial
bubble is mostly wrong’, The Conversation, 12 February 2018. - Online Etymology Dictionary. Origin and meaning of bubble.
https://www.etymonline.com/word/bubble. - Reproduced with authors’ permission. Source: Frehen R.G.P. et
al., ‘New Evidence on the First Financial Bubble’, Journal of
Financial Economics, 2013.
greg delong
(Greg DeLong)
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