http://ftalphaville.ft.com/blog/2008/02/13/10890/systemic-risk-rises-correlation-hits-new-highs/

Not sure that this statement is correct

"That last - in current markets perhaps utterly obvious - point is worth one final tangent. In a way it cuts right to the heart of the whole subprime fiasco. How did CDO tranches get AAA ratings? Because most rating models don’t - or didn’t - have a correlation metric."

Even if it were, the addition of a correlation metric won't necessarily solve all the problems. The one factor Gaussian copula is the most widely used out there and is know to have its limitations. Wilmott and co and working on a new model - I will wait for this before modifying my spreadsheet

http://www.noelwatson.com/blog/PermaLink,guid,297c1bf3-25b8-4d15-913d-41e9b697ce1c.aspx