4 ms·

Interesting commentary on the Gaussian Copula Formula in 2005: http://infoproc.blogspot.com/2005/09/gaussian-copula-and-credit-derivatives.html http://infoproc

• jibiki 18y ago
  It's interesting that Li himself thought knew traders were trusting the model too much. In theory, this knowledge could have made him a lot of money, but in practice it's probably difficult to correctly short the market (since he couldn't really know when the collapse was coming, or how big it would be.)