Saturday, November 21, 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:






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