Nassim Taleb attacks VaR in Congress
Published: December 14th, 2009
The risk measuments methods were used by Wall Street to hide risks and collect bonuses. Nassim Taleb (of Universa and NYU) after 13 years of fighting against quantitative risk management is finally getting his say in Congress.
He also discusses his “Fourth Quadrant” of risks society should not bear because we cannot measure them.
Duration : 0:9:59
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December 14th, 2009 at 3:18 am
It was a funeral… …
It was a funeral…the funeral of VaR…
As a former risk manager I agree largely with his views – but having met him in person I can say I am not the biggest fan of his personality…
December 14th, 2009 at 3:18 am
Hey Taleb , I …
Hey Taleb , I thought you only wore ties at funeral?
I guess he was at a funeral.
Seriously I love this guy.
December 14th, 2009 at 3:18 am
haha, cool. so i …
. try reading his book, the black swan, -im in the middle of it now- and you’ll have tons of opportunities to catch those kinds of semantic contradictions. sometimes i have to stop myself, and work with what he is actually trying to say and not what he has literally just said. hehe
haha, cool. so i guess it was proper that i couldn’t quite tell what you were saying
December 14th, 2009 at 3:18 am
Sorry, it was meant …
Sorry, it was meant as humor. See, although I know that I know much less about probability and economics than Taleb, my impulse is to seek the data, even in the face of strong recent evidence for Taleb’s claim. I meant it when I said “I’m convinced.” I was trying to provide a humorous example of a problem he cited: that having *any* data gives the illusion of unlimited predictability to people who don’t understand the mathematical limits on the degree of predictability of complex systems.
December 14th, 2009 at 3:18 am
I can’t tell quite …
I can’t tell quite what you’re saying, but the measurements he used were simple factual data points. The ‘measurements’ he is concerned about are predictions of probability derived from the commonly used ‘Value at Risk’ risk measurement system. One of the main concerns is that it works with a bell curve distribution, and financial behaviour seems to behave fractally.
December 14th, 2009 at 3:18 am
lucky bastard
lucky bastard
December 14th, 2009 at 3:18 am
As if to prove what …
As if to prove what he was saying about 4:30, that giving people measurements tends to foster an illusion of predictability, my first reaction is to wonder what data — what MEASUREMENTS! — he took or used to first make that observation, and what further measurements were needed to prove it. Heh, I’m convinced.
December 14th, 2009 at 3:18 am
Nice shirt and tie …
Nice shirt and tie Mr. Taleb. I’m sure you wore it with a huge sense of irony, but weren’t you afraid it would backfire? I mean, if just one of them had asked why they should believe anyone wearing a tie . . .
December 14th, 2009 at 3:18 am
He has not wright! …
He has not wright!
1) A complex system has not “very low level of predictability” (5,17). Unfortunatly the models were not good enough in the tails. For this purpose are needed better models!
2) 7.10 He has no wright.
3) 7.50 Not all models use linearity.
December 14th, 2009 at 3:18 am
I would kill to …
I would kill to take that class. You should bring an audio recorder and upload his lectures to youtube
December 14th, 2009 at 3:18 am
Not to say for sure …
Not to say for sure that there’s anything devious going on but these mid-sentence edits are annoying at the least, misleading at the most. Is that just my computer?
December 14th, 2009 at 3:18 am
Lucky you.I wish I …
Lucky you.I wish I could
December 14th, 2009 at 3:18 am
Yup.
Just like the …
Yup.
Just like the Dr. House wearing a suit!
Today I am in his lecture.
December 14th, 2009 at 3:18 am
I am taking this …
I am taking this dude’s class this semester
BRILLIANT DUDE!!!!!!!!!!!!
December 14th, 2009 at 3:18 am
if america follows …
if america follows what this man says,and all the others like him,that work in many other fields of science,and want a new way of think and make politics,evolving to a more coopertive society and changing the today self interest- false rationalist mentality,would be what i hope happens.
December 14th, 2009 at 3:18 am
HE’S WEARING A SUIT …
HE’S WEARING A SUIT!!
December 14th, 2009 at 3:18 am
great post. great …
great post. great to see nassim on the case. never try and count your fat tail events before they hatch
December 14th, 2009 at 3:18 am
Taleb is right. …
Taleb is right. Capitalism is not about people getting well paid to take risks, and then having the community bail them out when they blow up. Capitalism is strongest when bad ideas fail early and those resources are freed up for new ideas.
I can only hope Taleb is heard.
December 14th, 2009 at 3:18 am
If the government …
If the government made it clear that they did not and would not stand behind certain products or firms that dealt in those products and if the rating agencies adopted this thinking when grading investments then there would be no need to regulate out of existence “innovative” products. They would be left to live or die on the strength of their management and their equity.