NYT has a 10 page article on Risk Management and VaR. http://www.nytimes.com/2009/01/04/magazine/04risk-t.html?_r=1&pagewanted=1&ref=business Yves Smith of Naked Capitalism was pretty harsh in her assessment of the way the article was written. Read the comments as well as it seems like there are quite a few knowledgeable people reading her blog. http://www.nakedcapitalism.com/2009/01/woefully-misleading-piece-on-value-at.html The two articles raise some interesting questions, not just about the use (or misuse?) of VaR but how a financial writer (Joe Nocera) covers a topic and whether or not that reporting adequately covers the issues presented. Worth giving both a glance if you’re having a slow day at work.
this artilce in nyt has been also critisiced at http://www.rgemonitor.com/globalmacro-monitor/254956/woefully_misleading_piece_on_value_at_risk_in_new_york_times obviously market returns are not normal otherwise how could i face 2 sigma event daily
It’s just more Taleb nonsense. The guy has made himself famous with the same old strawman over and over again. Just silly.
both of his books, fooled by randomness and black swan, just harped on the same concept i agree that he is repeating too much, people might agree to him in theory but options are still priced by binomial or black scholes and historical vol is taken as the reference for impliec vol so many of us are still pursuing cfa which he thinks is worthless so he has enough reasons to go on and on but let me tell you that he tried to manage a fund where he bought deep out of the money options, he did not make supernormal profit there
Joey: Can you exand please? Can you recommend a critique of NNT’s work? Thanks man.
I always wondered if VAR models increase the likelihood of what Taleb would consider Black Swan events after each day they do not occur. For example: If I were to make a model that predicts the likelihood of a meteor striking the earth, would I structure it so that with each day that passes there is a respective increase the likelihood of a collision?
TJR Wrote: ------------------------------------------------------- > I always wondered if VAR models increase the > likelihood of what Taleb would consider Black Swan > events after each day they do not occur. > > For example: If I were to make a model that > predicts the likelihood of a meteor striking the > earth, would I structure it so that with each day > that passes there is a respective increase the > likelihood of a collision? Not a chance.