{"id":7605,"date":"2015-03-23T12:49:44","date_gmt":"2015-03-23T19:49:44","guid":{"rendered":"http:\/\/www.blackswanreport.com\/blog\/?p=7605"},"modified":"2015-03-23T12:49:44","modified_gmt":"2015-03-23T19:49:44","slug":"my-arguments-against-value-at-risk","status":"publish","type":"post","link":"https:\/\/www.blackswanreport.com\/blog\/2015\/03\/my-arguments-against-value-at-risk\/","title":{"rendered":"My arguments against Value at Risk&#8230;"},"content":{"rendered":"<blockquote><p>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&#8230;<br \/>\nI 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.<br \/>\n&#8212;<br \/>\nJohn KAY: &#8220;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 &#8220;25 standard deviation events, several days in a row&#8221;. Mr Viniar\u2019s successor, Harvey Schwartz, has been similarly surprised. When the Swiss franc was unpegged last month, he described Goldman Sachs\u2019 experience as a &#8220;20-plus standard deviation&#8221; occurrence.&#8221;<br \/>\n&#8212;<br \/>\nThis triggered a smear campaign, an 18 year smear campaign by very vactive people.<br \/>\n<a href=\"http:\/\/www.fooledbyrandomness.com\/jorion.html\" target=\"_blank\">http:\/\/www.fooledbyrandomness.com\/jorion.html<\/a><\/p>\n<p><strong>Against Value at Risk<\/strong><br \/>\nPhilippe 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\u2026<br \/>\n<a href=\"http:\/\/www.fooledbyrandomness.com\/jorion.html\" target=\"_blank\">fooledbyrandomness.com<\/a>|By ntaleb<\/p><\/blockquote>\n<p>via <a href=\"https:\/\/www.facebook.com\/permalink.php?story_fbid=10152901337858375&amp;id=13012333374\">My arguments against Value at Risk (or&#8230; &#8211; Nassim Nicholas Taleb<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>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&#8230; I am posting because it generalizes to all sucker risk [&hellip;]<\/p>\n","protected":false},"author":8,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[145],"tags":[263],"class_list":["post-7605","post","type-post","status-publish","format-standard","hentry","category-facebook","tag-value-at-risk"],"_links":{"self":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts\/7605","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/users\/8"}],"replies":[{"embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/comments?post=7605"}],"version-history":[{"count":2,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts\/7605\/revisions"}],"predecessor-version":[{"id":7607,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/posts\/7605\/revisions\/7607"}],"wp:attachment":[{"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/media?parent=7605"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/categories?post=7605"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.blackswanreport.com\/blog\/wp-json\/wp\/v2\/tags?post=7605"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}