尽管令人难以相信，但在国内外金融工程师间仍流传着这个说法：就是说，一个数学公式引发了全球金融危机。这个公式是华裔金融工程师李祥林(David X. Li)于2000年在名为《固定收入学报》(The Journal of Fixed Income)的学术刊物上发表的“高斯联结相依函数(Gaussian copula function)”。
李祥林毕业于南开大学经济系，加拿大魁北克拉瓦尔大学MBA，2008年回北京工作，任中国国际金融有限公司的首席风险官，现任中金公司执行总经理、首席风险官，负责风险管理组和数量分析组。
在这一公式出来前，华尔街几乎没有对住宅担保贷款进行投资。华尔街的投资喜欢“风险”，这是因为风险大，赚取高收益的几率也就提高。相反他们最不喜欢‘不确定性’。可是从住宅担保贷款情况来看，特定的房价何时会下降、借款的人何时失业导致无法偿还债务等难以预测，因此不确定性也就很大。因此，投资者认为如果将多个混在一起，不确定性可能会减少，因此推出了名为‘担保债务凭证’(CDO)的金融商品，但不确定性却仍然存在。CDO是将500至1000个住宅担保贷款券捆绑在一起后造出来的新债券。”
然而“高斯联结相依函数”成为了去除不确定性的解决方案。就是说，通过计算将具有不确定性的诸多住宅担保贷款的偿还可能性，算出价格。如果介绍函数就如下所述：(Pr[TA〈1, TB〈1〉=φ?(φR1(FA(1)),φR1(FB(1)),γ)〉。
美国华尔街的血雨腥风已经迅速演变成全球股市的哀号
华尔街的金融工程师热烈欢迎“高斯联结相依函数”的出现。因具有很大的不确定性而难以进行交易的CDO有了自己的价格后，打开了庞大的市场。而且随着因低利率而失去方向的新资金涌入华尔街，名为CDO的“新商品”人气骤升。CDO市场规模在2000年只有2750亿美元左右，而达到顶峰的2006年市场规模达4.7万亿美元。
基于一个数学公式的 CDO市场最终崩溃，最终引来了雷曼兄弟破产等华尔街投资银行的没落。其决定性原因在于重要的假设有错。CDO市场繁盛时期的“对发生次级债危机的市场价格”是基于最近10年的房地产火热期的价格制定的，因此忽略了房地产价格暴跌时的风险。随着因美国房地产泡沫破灭，住房价格下跌，用“高斯联结相依函数” 计算出来的CDO价格变成了毫无意义的数字，竟暴跌了60%.是不是华尔街的金融人士因为眼前的贪欲而无视函数背后的陷阱呢？Even though is hard to believe, but the financial engineers at home and abroad are still circulating this statement: that is, a mathematical formula to trigger a global financial crisis. This formula is of Chinese financial李祥林Engineer (David X. Li) in 2000 entitled "Journal of Fixed Income" (The Journal of Fixed Income) of the academic journals published on the "Gaussian link function dependencies (Gaussian copula function)".
李祥林graduated from Nankai University, Department of Economics, University of Laval in Quebec, Canada MBA, 2008 years back to work in Beijing, he was appointed China International Capital Corporation Limited's Chief Risk Officer, the incumbent chief executive of CICC, the Chief Risk Officer, responsible for risk management group and the quantity Analysis Section.
In this formula before, Wall Street almost no guarantee for loans for residential investment. Wall Street likes the investment "risk", This is because risks are great, the chance of earning a high income will improve. The contrary they are most dislike 'uncertainty'. However, secured loans from the domestic situation, when a specific price decline, the borrower when the person can not repay the debt due to unemployment and other difficult to predict, so the uncertainty is great. Therefore, investors think that if the number of mixed, uncertainty may be reduced, so the introduction entitled 'secured debt obligations' (CDO) of financial products, but uncertainty remains. CDO is 500-1000 coupons home mortgage loans bundled out after making the new bonds. "
However, "Gauss linking dependency function" became the removal of uncertainty solutions. In other words, by calculating the uncertainty will have a lot of home mortgage loans to repay the possibility to calculate the price. If the function on the introduction, as described below: (Pr [TA <1, TB <1> = φ? (ΦR1 (FA (1)), φR1 (FB (1)), γ)>.
Wall Street's bloody the United States has rapidly evolved into a global stock market wail
Wall Street's financial engineers a warm welcome to "join dependency Gaussian function" appearance. Because is a great uncertainty and difficult to carry out transactions CDO have their own prices, open a huge market. And as a result of low interest rates and the loss of the direction of the new inflow of funds into Wall Street, known as CDO's "new merchandise" surging popularity. CDO market in 2000 at only about 275 billion U.S. dollars, while the peak of the size of the market in 2006 reached 4.7 trillion U.S. dollars.
Based on a mathematical formula to the CDO market finally collapsed, eventually led to bankruptcy for Lehman Brothers investment bank on Wall Street decline. Because of its decisive assumption has important mistake. CDO market busy period of "Subordinated Debt to happen the market price of the crisis" is based on the recently fiery 10-year period of real estate pricing, and therefore ignored the real estate prices plummeted when the risk. As a result of American real estate bubble burst, housing prices, with "link-dependent Gaussian function" calculated CDO prices become meaningless figure, even a drop of 60%. Are not the financial people on Wall Street because the immediate greed while ignoring the function of the trap behind it?
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