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[GRS Research]

Replace their blackboard with a whiteboard and this scene might have played out a hundred times over in any number of investment banks over the last ten years. In conference rooms from Wall Street to Silicon Valley back to Charlotte, everyone was talking about David Li’s formula for modeling default correlations.  Li’s 1999 paper “On Default Correlation: A Copula Function Approach“, and its underlying formula, became a touchstone for an entire industry. Wired’s Felix Salmon points this out in his February article “Recipe for Disaster: The Formula That Killed Wall Street“…

From Best Mode “http://www.gilmanresearch.com/bestmode/2009/03/03/one-clean-simple/”