The copula model is not robust to changes in model assumptions. Black-Scholes is. Did you know that? Or maybe I'm wrong. Would you like to know the truth?
Yes, I could tell you. I could spoonfeed you. You've got used to being spoonfed, haven't you?
He also has a wonderful anecdote:
In the late 1970s I had the dubious pleasure of attending a Billy Graham evangelical event for the followers of the christian cult, as a guest of some born-again nutters. Over the last decade I have had the equally dubious pleasure of attending many conferences on credit, listening to various academics, let's say "Professor X," for example, preaching about the copula cult. I use the word 'cult' in this context because of the similarities between the unthinking adoration I witnessed at both types of event. I found the Billy Graham event hilarious, I found the credit events disturbing. In both cases the audiences were intelligent people, in both cases there was only one non-sheep among them: me.
I too attended a Billy Graham evangelical event; my experience was in the mid-80s. I too found myself pretty much alone in the crowd. But I've always been thankful to Billy Graham for softening up the audience; the walk back home was the beginning of my first-ever romantic relationship.
Wilmott is quite right that quants need to stop being so passive. But he also knows full well that they won't be. It's far too easy for them to go along with what everybody else is doing -- and that's exactly why the copula function turned out to be so disastrous. At the risk of quoting myself:
The real danger was created not because any given trader adopted it but because every trader did. In financial markets, everybody doing the same thing is the classic recipe for a bubble and inevitable bust.
Independent thinking rarely gets you very far in a sell-side career. Be inventive, by all means. But don't question anything which has made your boss millions of dollars. Not unless you simultaneously come up with a way of making even more.