tag:blogger.com,1999:blog-5880610.post186310128603896152..comments2024-01-13T18:57:18.243-05:00Comments on Information Processing: Blame the quants!Steve Hsuhttp://www.blogger.com/profile/02428333897272913660noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-5880610.post-63150043658417869382007-09-16T10:19:00.000-04:002007-09-16T10:19:00.000-04:00quote steve:"..."quant models" are irrelevant...th...quote steve:<BR/>"..."quant models" are irrelevant...they are fundamentally flawed : this is glorified noise-trading and as such it will fail eventually..."<BR/><BR/>Your ignorance and anti-intellectualism is pittyful. Believe whatever you wanted to believe, but mathematical perfection will prevail. There are few miscalculation along the way, that is the inevitable fact, but there is nothing thatAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-87082692598822363922007-08-23T19:14:00.000-04:002007-08-23T19:14:00.000-04:00It looks like this cash infusion doubled Goldmans ...It looks like this cash infusion doubled Goldmans equity fund's assets. Down percentage points, and these two players pump cash in to revive it. I found a site with both their connections.<BR/>http://www.newsvisual.com/newsvisual/2007/08/maurice-greenbe.htmlAnonymoushttps://www.blogger.com/profile/10234548839031079195noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-66691206272722670282007-08-22T12:32:00.000-04:002007-08-22T12:32:00.000-04:00Steve:at this point in time, I am not aware of any...Steve:<BR/>at this point in time, I am not aware of any junior tranche having defaulted...remember, the junior tranches are not first in line for losses, there is usually over collateral, excess spreads and reserve funds...etc..for a typical structure a 3% loss at least is necessary before the junior tranche gets hit.The history of these things is short but so far there is no evidence that the Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-58628330174018284232007-08-22T11:41:00.000-04:002007-08-22T11:41:00.000-04:00Anonymous: I'm not sure to what extent the models ...Anonymous: I'm not sure to what extent the models have already failed -- did they give accurate default probs for more junior tranches? In any case we'll have to wait and see -- only the future will tell. They did fail to predict correlations in relative price movements of different tranches, mainly because the market marked everything down indiscriminately.<BR/><BR/>>By the way, quant as in "Steve Hsuhttps://www.blogger.com/profile/02428333897272913660noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-35002180178804815482007-08-22T04:54:00.000-04:002007-08-22T04:54:00.000-04:00"Now, the failure of default models based on histo..."Now, the failure of default models based on historical data might have something to do with loosening of credit standards and outright fraud at the mortgage broker (mainstreet) level."<BR/>What "failure of default model"? Please name ONE senior AAA tranche in default.<BR/>By the way, quant as in "quant equity funds" have nothing to do with quant as in "structured finance".Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-12754470719411953182007-08-21T15:01:00.000-04:002007-08-21T15:01:00.000-04:00Here's what Tanta at CR had to say about this arti...Here's what Tanta at CR <A HREF="http://calculatedrisk.blogspot.com/2007/08/mmi-its-getting-ugly-out-there.html" REL="nofollow">had to say</A> about this article: <I>In any period of market correction--let alone a full-blown crisis--you can always, always count on the mainstream press to trot out anti-intellectual drivel like this. I don't want to do a reductio in the other direction, but you Anonymousnoreply@blogger.com