One thing I forgot to mention about Wim's talk the other evening

http://www.noelwatson.com/blog/PermaLink,guid,136d4b18-8d46-4687-8a83-0ef2f97ab805.aspx

was that he mentioned that conventional Gaussian copula models were starting to throw up some strange number in the current distressed markets. This was discussed in a Bloomberg article yesterday.

http://www.bloomberg.com/apps/news?pid=20601009&sid=aWl_spgXiGIc&refer=bond

The article is written in a rather confusing manner (in my opinion), but what it is saying is that attempting to value certain tranches of the CDX index is proving impossible (correlation greater than one) with the Gaussian model.

There is a discussion on the Wilmott forum

http://www.wilmott.com/messageview.cfm?catid=4&threadid=59608

WimLevyBC.pdf (170.21 KB)