The Rules of Contagion

(Greg DeLong) #1

  1. Derman E., ‘Model Risk’ Goldman Sachs Quantitative Strategies
    Research Notes, April 1996.

  2. CNBC interview, 1 July 2005.

  3. 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.

  4. Tavakoli J., ‘Comments on SEC Proposed Rules and Oversight
    of NRSROs’, Letter to Securities and Exchange Commission, 13
    February 2007.

  5. MacKenzie D. et al., ‘“The Formula That Killed Wall Street”?
    The Gaussian Copula and the Cultures of Modelling’, 2012.

  6. New Directions for Understanding Systemic Risk (National
    Academies Press, Washington DC, 2007).

  7. Chapple S., ‘Math expert finds order in disorder, including stock
    market’, San Diego Union-Tribune, 28 August 2011.

  8. May R., ’Epidemiology of financial networks. Presentation at
    LSHTM John Snow bicentenary event, April 2013. Available on
    YouTube.

  9. For background on May’s involvement see previous note.

  10. ‘Was tulipmania irrational?’ The Economist, 4 October 2013.

  11. Goldgar A., ‘Tulip mania: the classic story of a Dutch financial
    bubble is mostly wrong’, The Conversation, 12 February 2018.

  12. Online Etymology Dictionary. Origin and meaning of bubble.
    https://www.etymonline.com/word/bubble.

  13. Reproduced with authors’ permission. Source: Frehen R.G.P. et
    al., ‘New Evidence on the First Financial Bubble’, Journal of
    Financial Economics, 2013.

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