From Raphael Douady:
Did you hear about the "tail concentration effect"?
When a #blackswan shows up, everything goes wrong and correlations spike to 100%. In other words, any risk factor becomes a risk source.
Correlations are not stable at all, particularly under extreme events. You need proper models to handle it, starting with #nonlinear.
Nonlinearity is more important than multi-factor.
Comic by Stefan Gasic (highly recommended) 
