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: