Tag Archives: value at risk

My arguments against Value at Risk…

My arguments against Value at Risk (or measurement of tail risks) 18 years ago and the very first article I ever wrote. My arguments have not changed, those of the opponents kept changing. The method is what blew up the banks and FNMA in 2008…
I am posting because it generalizes to all sucker risk taking in complex domains, including GMOs, etc. And also because people kept using a fraud periodically rediscovering it is a fraud yet kept using it.

John KAY: “As the global financial crisis began to break in 2007, David Viniar, then chief financial officer of Goldman Sachs, reported in astonishment that his firm had experienced “25 standard deviation events, several days in a row”. Mr Viniar’s successor, Harvey Schwartz, has been similarly surprised. When the Swiss franc was unpegged last month, he described Goldman Sachs’ experience as a “20-plus standard deviation” occurrence.”

This triggered a smear campaign, an 18 year smear campaign by very vactive people.

Against Value at Risk
Philippe Jorion is perhaps the most credible member of the pro-VAR camp. I will answer his criticism while expanding on some of the more technical statements I made during the interview (DS, December/January 1997). Indeed, while Philippe Jorion and I agree on many core points, we mainly disagree on…
fooledbyrandomness.com|By ntaleb

via My arguments against Value at Risk (or… – Nassim Nicholas Taleb.

Nassim Taleb Educates a Quant

Now you all know I’m a Taleb super-fan, but this is excellent and hilarious. It’s not going to mean much to the general public, but to those of us following the argument it’s genius.  Would love to watch NNT’s face as he saw it for the first time. I like to think that he’d get a few laughs out of it as well, but who knows?
It has 55 views so far and was created with the very fun Xtranormal software. Here’s the link.  It’s attributed to Peter Cotton. Snooping around on the net I see a Peter Cotton associated with Taleb’s name here, which leads me to believe that it may have been created this Peter Cotton. Would love to get confirmation on that if only to thank him for a good laugh.

Videos Posted by NYU-POLY FRE: Interview with Charles Tapiero and Nassim Taleb


NNT enters the conversation around 5:45 NYU-POLY is the school NNT chose to teach at.
iatrogenics http://en.wikipedia.org/wiki/Iatrogenics

Interview with Morton L. Topfer Distinguished Professor and Department Chair Charles S. Tapiero and Distinguished Professor Nassim Nicholas Taleb .
Also on Facebook: www.facebook.com/video/video.php?v=396575527762