Recipe for Disaster: The Formula That Killed Wall Street

Recipe for Disaster: The Formula That Killed Wall Street: "Nassim Nicholas Taleb, hedge fund manager and author of The Black Swan, is particularly harsh when it comes to the copula. 'People got very excited about the Gaussian copula because of its mathematical elegance, but the thing never worked,' he says. 'Co-association between securities is not measurable using correlation,' because past history can never prepare you for that one day when everything goes south. 'Anything that relies on correlation is charlatanism.'"