'A device for being able to book P&L': the organizational embedding of the Gaussian copula.

This article, the second of two articles on the Gaussian copula family of models, discusses the attitude of 'quants' (modellers) to these models, showing that contrary to some accounts, those quants were not 'model dopes' who uncritically accepted the outputs of the models. Although sometimes highly critical of Gaussian copulas - even 'othering' them as not really being models --they nevertheless nearly all kept using them, an outcome we explain with reference to the embedding of these models in inter- and intra-organizational processes: communication, risk control and especially the setting of bonuses. The article also examines the role of Gaussian copula models in the 2007-2008 global crisis and in a 2005 episode known as 'the correlation crisis'.

'The formula that killed Wall Street': the Gaussian copula and modelling practices in investment banking.

Drawing on documentary sources and 114 interviews with market participants, this and a companion article discuss the development and use in finance of the Gaussian copula family of models, which are employed to estimate the probability distribution of losses on a pool of loans or bonds, and which were centrally involved in the credit crisis. This article, which explores how and why the Gaussian copula family developed in the way it did, employs the concept of 'evaluation culture', a set of practices, preferences and beliefs concerning how to determine the economic value of financial instruments that is shared by members of multiple organizations. We identify an evaluation culture, dominant within the derivatives departments of investment banks, which we call the 'culture of no-arbitrage modelling', and explore its relation to the development of Gaussian copula models.