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Articles in the popular press
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Recipe for disaster: the formula that killed Wall Street Wired Magazine, Feb 23, 2009.
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The formula that felled Wall St, Financial Times, Apr 24, 2009
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How a formula ignited market that burned some big investors, Wall Street Journal, Sep 12, 2005.
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On default correlation: a copula function approach, David Li, Journal of Fixed Income 9:43-54, (2000). (Link is to preprint on SSRN)
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A report illustrating poor risk management of a derivative portfolio:
HQAB-Malms-Rapport.pdf (in Swedish). The last part may be
most relevant for you.
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