Felix Salmon published a great article in Wired that looks at the Recipe for Disaster: The Formula That Killed Wall Street. The article looks at the widespread use of the Gaussian copula function. In assessing the risks in mortgage backed securities. The theory behind Gaussian copula function tries to overcome the difficulty in assessing the [...]
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The Risk Management Formula That Killed Wall Street
on February 25, 2009 in Enterprise Risk Management
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