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Taleb on VaR

Taleb on VaR

Courtesy of George of Washington’s Blog

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:

Value at Risk


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