Copulas in Finance: a discussion

In the last years, there has been a growing interest in the use of copulas in finance. However, during the current financial crisis, several people argued that copulas (and certain other mathematical instruments) have been one of the main causes of the market crashes. In order to provide an overview to the current discussion about this topic, we have selected here a series of links.

Recipe for disaster: the formula that killed Wall Street, by Felix Salmon

published by Wired Magazine on February 23, 2009.

Meet the man whose big idea felled Wall Street

published by The Star on March 18, 2009.

The formula that felled Wall Street, by Sam Jones

published by Financial Times on April 24, 2009.

In defense of the Gaussian Copula,

published by The Economist on April 29, 2009

Did a mathematical formula really blow up Wall Street?, by Paul Embrechts

talk at the Astin Conference on June 2009.

Credit models and the crisis, or: how I learned to stop worrying and love the CDOs,

by D. Brigo, A. Pallavicini, R. Torresetti

The flawed maths of financial models, by P. Tirana

published by Financial Times on November 30, 2010.

'The Formula That Killed Wall Street'? The Gaussian Copula and the Material Cultures of Modelling

Donald MacKenzie and Taylor Spears, June 2012