Correlated Disaster: The Simple Formula That Killed Wall Street

by Benjamin Domenech on 2:52 am February 25, 2009

A math wizard named David X. Li dreams up a formula, a Gaussian copula function, so marked by its elegance, accuracy and simplicity that it is used around the world in finance. Five years after this breakthrough which everyone hailed, the overvalued model started cracking. And then, in a flash, it wrecked the marketplace.

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