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Sue the VaRists!

I have just come across an interesting post by Nassim Nicholas Taleb (author of the Black Swan). Taleb thinks that everyone involved in promoting Value at Risk (VaR) as a valid risk management tool should be sued by investors who have lost money in the current financial crisis.

Taleb has been raging against VaR since the mid nineties. He says that the widespread acceptance of VaR in the market has encouraged more risk-taking through its weakness in modelling extreme events and their effects. He implies (putting it mildly!) that the VaR “number” has become a surrogate for understanding.

He says he is only too willing to testify in court on behalf of investors againsts anyone involved in developing risk measures for the market – seems like the enemies of the VaRists are at the gates…

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https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-10-12 04:00:002020-02-11 11:04:25Sue the VaRists!
1 reply
  1. cbooker says:
    January 9, 2009 at 1:46 pm

    For an opposing view, you may find this entry by Eric Falkenstein of interest:

    http://mahalanobis.twoday.net/stories/3931521/

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