Finance & economics

In defense of the Gaussian copula

A formula gets blamed for the crisis

By The Economist | NEW YORK

QUANT models and their architects are so misunderstood, often by people working in finance. It pains me, though I am biased. I spent the better part of a decade devoted to studying elegant (and sometimes clumsy) mathematical expressions that describe messy and complex relationships. I still see beauty in these models, but am aware (much more so lately) of their weaknesses. Understanding these models means being mindful of their limitations.

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