Saiu um artigo muito interessante na Wired falando de uma formula matemática que foi usada por praticamente todos os bancos e agencias de risco para quantificar risco. O problema é que a formula aparentemente é furada, mas isso, como percebemos, veio a tona só agora.
Recipe for Disaster: The Formula That Killed Wall Street
“For five years, Li’s formula, known as a Gaussian copula function, looked like an unambiguously positive breakthrough, a piece of financial technology that allowed hugely complex risks to be modeled with more ease and accuracy than ever before. With his brilliant spark of mathematical legerdemain, Li made it possible for traders to sell vast quantities of new securities, expanding financial markets to unimaginable levels. His method was adopted by everybody from bond investors and Wall Street banks to ratings agencies and regulators. … [T]he real danger was created not because any given trader adopted it but because every trader did. In financial markets, everybody doing the same thing is the classic recipe for a bubble and inevitable bust.”
Será que a crise toda foi um erro matemático?