In recent article, some history behind wall street crash is given:

Recipe for Disaster: The Formula That Killed Wall Street

An excerpt from the article:

In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of Fixed Income titled "On Default Correlation: A Copula Function Approach." (In statistics, a copula is used to couple the behavior of two or more variables.) Using some relatively simple math—by Wall Street standards, anyway—Li came up with an ingenious way to model default correlation without even looking at historical default data. Instead, he used market data about the prices of instruments known as credit default swaps.

You could read the full article and shenanigans, but the point remains: how can one find out loan default without looking at actual default data? All the talk about correlation etc reminds of usual perplexing questions put to Taleb when he was asked by financial managers – " .. but you are not correlated to anything!". Well Taleb could not answer it, because mathmematics cannot find answer to a question to which mathmematics is not suited for. And those who want to live by correlation should remember they can die by correlation too, just kidding …