I searched and found David Li's orginal paper on "On Default Correlation: A Copula Function Approach"[Link]. I'll do a summary of this paper and my understanding of what went wrong...
Wednesday, April 01, 2009
I found my way to this article[link]on David Li from Tan Kin Lian's blog. It talks about how a maths whiz created a formula that allowed risks to be computed quickly and that led to growth of the securitization market that destroyed Wall Street. I wasn't very happy with the explanation of his formula in the article - it didn't give me a complete understanding of the formula. I found another article in Wired Magazine that discusses how this formula killed Wall Street [Link].....again not to thorough in its explanation of the formula.
Posting Time 2:20 PM
Posted by Lucky Tan