Taleb on VaR → Washingtons Blog
Taleb on VaR - Washingtons Blog

Saturday, September 12, 2009

Taleb on VaR


Nassim Nicholas Taleb gave a presentation yesterday to the House Subcommittee on Investigations & Oversight on The Risks of Financial Modeling: VaR and the Economic Meltdown.

His presentation is good, and well worth reading in its entirety.

If you're too busy to read it, Taleb's Figure 1 gives a good executive summary:






2 comments:

  1. Taleb: Data shows that banks routinely lose everything earned in their past history in single blowups -- this happened in 1982, 1991, and, of course now. Every time society bails them out -- while bank risk-takers retain their past bonuses and start the game afresh. This is an aberrant case of capitalism for the profits and socialism for the losses.

    Except it is no longer an aberrant case, but systemic and usual. It is aberrant capitalism, capitalism not as an engine for wealth creation but as a transfer mechanism. Power helps itself to more wealth, and wealth helps itself to more power.

    ReplyDelete
  2. Very astute comment!

    ReplyDelete

→ Thank you for contributing to the conversation by commenting. We try to read all of the comments (but don't always have the time).

→ If you write a long comment, please use paragraph breaks. Otherwise, no one will read it. Many people still won't read it, so shorter is usually better (but it's your choice).

→ The following types of comments will be deleted if we happen to see them:

-- Comments that criticize any class of people as a whole, especially when based on an attribute they don't have control over

-- Comments that explicitly call for violence

→ Because we do not read all of the comments, I am not responsible for any unlawful or distasteful comments.