JSM Preliminary Online Program
This is the preliminary program for the 2009 Joint Statistical Meetings in Washington, DC.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2009 Program page

Abstract - #305910
Title: The Financial Crisis: Our Share of the Blame
Author(s): Don McLeish*+
Companies: Center for Advanced Studies
Address: University of Waterloo, Department of Statistics and Actuarial Science, Waterloo, ON, N2L 3G1, Canada
Keywords:
Abstract:

The credit crisis has been variously blamed on compensation practices and greed, "quants", mortgage brokers, mathematical models used to price credit derivatives, mathematics, statistics, physicists, the rating agencies, mortgage brokers, defects in risk measurement models and leverage and lax capital requirements, to mention only a fraction. What is the Statistican's share of the blame? To what extent are the statistical models used in risk measurement and credit risk and derivative price modeling culpable? In this talk I will give a short review of risk measurement and models for credit default risk. Potential causes of instability in the models and possible remedies are discussed.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2009 program


JSM 2009 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised September, 2008