Again, the failure of financial risk models in 2008 was pretty much the same thing. Same techniques, similar failures.
And even the smartest ppl were doing it. https://en.wikipedia.org/wiki/David_X._Li#CDOs_and_Gaussian_copula …
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A big issue is that if you give a trader a VaR "budget", he'll seek out fat tails.
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it's risk he's getting paid for taking, but his controllers aren't seeing. Goodhart's Law.
End of conversation
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