On of my favourite quotes from the credit crisis comes from the 2/02/08 edition of The Economist, the article "No Defense" on fraud issues at Societe General, states
"In common with other French banks, SocGen was also thought by many to take an overly mathematical approach to risk. “‘It may work in practice but does it work in theory?' is the stereotype of a French bank,” says one industry consultant."
In response to "Of couples and copulas", Prof Paul Embrects sent the following letter to the FT
The article "Of couples and copulas", published on 24 April 2009,
suggests that David Li's formula is to blame for the current financial
crisis. For me, this is akin to blaming Einstein's E=mc² formula for
the destruction wreaked by the atomic bomb.
Feeling like a risk manager whose protestations of imminent danger
were ignored, I wish to make clear that many well-respected
academics have pointed out the limitations of the mathematical tools
used in the finance industry, including Li's formula. However, these
warnings were either ignored or dismissed with a desultory
response: "It's academic".
We hope that we are listened to in the future, rather than being
made a convenient scapegoat.