How mathematics killed the banking system 23 February 2009

How mathematics killed the banking system

An account - with the mathematics - of how 'quants' got it all spectacularly wrong. This lively and informative article appeared in WIRED (February 23, 2009). According to the article it is David X. Li's Gaussian copula function that did it. It was first published in 2000 and investors exploited it as a quick, but fatally flawed, way to assess risk.


Read the story here:

http://www.wired.com/techbiz/it/magazine/17-03/wp_quant?currentPage=all