Copula

Copulas in the News

I don’t want this blog to become an echo chamber of the same crap they blog about over at Revolutions Blog, but they pointed out a really good article from Wired magazine on the topic of the Gaussian Copula and its roll in the current market meltdown. I was pretty impressed that the author, Felix Salmon was able to boil the issues down well and even give really good examples of how correlations can change over time.