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l****o
发帖数: 2909 | 1 Paul Wilmott in 2000 [4]:
"Unfortunately, as the mathematics of finance reaches higher levels so the
level of common sense seems to drop. There have been some well publicised
cases of large losses sustained by companies because of their lack of
understanding of financial instruments…. It is clear that a major rethink
is desperately required if the world is to avoid a mathematician-led market
meltdown."
The Financial Modelers' Manifesto was a proposal for more responsibility in
risk management and quantitative finance written by financial engineers
Emanuel Derman and Paul Wilmott. The manifesto includes a Modelers'
Hippocratic Oath. The structure of the Financial Modelers' Manifesto mirrors
that of The Communist Manifesto of 1848.
The Manifesto and Oath were written in response to the Financial crisis of
2007–2010 with the collapse of subprime mortgages. A shortened version was
published in Business Week[1] in December 2008 with the complete version [2]
appearing shortly afterwards.
Interestingly, both authors had written extensively about the risks related
to financial models for several years before the crisis; for example:
Emanuel Derman in 1996 [3]:
"There are always implicit assumptions behind a model and its solution
method. But human beings have limited foresight and great imagination, so
that, inevitably, a model will be used in ways its creator never intended.
This is especially true in trading environments… but it’s also a matter of
principle: you just cannot foresee everything. So, even a “correct” model
, “correctly” solved, can lead to problems. The more complex the model,
the greater this possibility." | J******d
发帖数: 506 | 2 关于Wilmott的观点请参看本人之前的一个帖子:
http://www.mitbbs.com/article0/Quant/31273013_0.html
截至目前为止，我还不认为这个世界上曾经发生过mathematician-led market
meltdown.如果这种meltdown发生的话，显然是件坏事，但我不觉得比wall street
trader led meltdown或者XXX bubble led meltdown坏或者好。
so the
publicised
of
rethink
market
responsibility in
engineers
【在 l****o 的大作中提到】
: Paul Wilmott in 2000 [4]:
: "Unfortunately, as the mathematics of finance reaches higher levels so the
: level of common sense seems to drop. There have been some well publicised
: cases of large losses sustained by companies because of their lack of
: understanding of financial instruments…. It is clear that a major rethink
: is desperately required if the world is to avoid a mathematician-led market
: meltdown."
: The Financial Modelers' Manifesto was a proposal for more responsibility in
: risk management and quantitative finance written by financial engineers
: Emanuel Derman and Paul Wilmott. The manifesto includes a Modelers'
| G*********o
发帖数: 2045 | 3 讲的不错，it is not model's fault, but those who abuse the model are at
fault
market
in
【在 l****o 的大作中提到】
: Paul Wilmott in 2000 [4]:
: "Unfortunately, as the mathematics of finance reaches higher levels so the
: level of common sense seems to drop. There have been some well publicised
: cases of large losses sustained by companies because of their lack of
: understanding of financial instruments…. It is clear that a major rethink
: is desperately required if the world is to avoid a mathematician-led market
: meltdown."
: The Financial Modelers' Manifesto was a proposal for more responsibility in
: risk management and quantitative finance written by financial engineers
: Emanuel Derman and Paul Wilmott. The manifesto includes a Modelers'
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