Again, the failure of financial risk models in 2008 was pretty much the same thing. Same techniques, similar failures.
-
-
Replying to @anomalyuk @fxxfy
Isn't there a Moldbug post about all this?
2 replies 1 retweet 0 likes -
Moldbug wrote about central banking & maturity transformation, not details of risk management. NNT's the main guy
3 replies 0 retweets 3 likes -
1 reply 0 retweets 0 likes
-
probabilistic modelling uses assumptions about correlations. Correlations are moved by factors not in the model.
1 reply 0 retweets 0 likes -
Shocking part with reading about risk models and VaR was the basic assumption of the normal distribution!!
1 reply 0 retweets 0 likes -
well, Central Limit Theorem and all that, not so bad. You supplement VaR with stress scenarios for extremes
2 replies 0 retweets 0 likes
Replying to @anomalyuk @i_contemplate_ and
new blog post on this discussion https://anomalyuk.blogspot.co.uk/2016/11/modelling-failures.html …
8:15 AM - 12 Nov 2016
0 replies
0 retweets
1 like
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.