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One Bank Flagship Seminar by Nassim Nicholas Taleb – Tail Risk Measurement Heuristics

Date: Thursday 18 February 2016
Time:  4.15-6pm
Venue: Moorgate Auditorium, 20 Moorgate
Speaker: Professor Nassim Nicholas Taleb

The first part of this talk – The Law of Large Numbers in the Real World – presents fat tails, defines them, and shows how the conventional statistics fail to operate in the real world, particularly with econometric variables, for two main reasons: 1) we need a lot, a lot more data for fat tails;  and 2) we are going about estimators the wrong way. The second part – Detecting Fragility – presents heuristics to detect fragility in portfolios. Fragility is shown to be ‘anything that is harmed by volatility’. The good news is that while (tail) risk is not measurable, fragility is.
This event is free though places are limited. Entry is on a first come, first served basis.  To apply for a place, or for any queries about this event, please contact the One Bank Research Seminar Team.

Twitter Hashtag for this event: #BoETaleb

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