
The Formula That Killed Wall Street (2009) - chollida1
http://www.wired.com/2009/02/wp-quant/?currentPage=all
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chollida1
This article is pretty old but it does a pretty good job of discussing David
Li's Gaussian Copela. It was/is the formula that played significant role in
pricing the derivative instruments that helped cause a bit of panic back in
2008.

his original paper is still below if anyone is interested.

[http://www.defaultrisk.com/_pdf6j4/On%20Default%20Correlatio...](http://www.defaultrisk.com/_pdf6j4/On%20Default%20Correlation-%20A%20Copula%20Function%20Approach.pdf)

