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Risk Management in Emerging Markets

My weblog will focus on risk management and modeling in emerging markets

 

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August 20, 2007

Revisiting the Jorion-Taleb Debate

My previous blog on Black Swan has ignited a lot of interest about the famous Jorion-Taleb debate on the VaR models in 1997. To those who missed the debate of 1997, here are some links:


Transcript of the VaR debate, 1997, Jorion vs Taleb


http://www.derivativesstrategy.com/magazine/archive/1997/0497fea2.asp


An interview of Taleb published by Derivativestrategy:

http://www.derivativesstrategy.com/magazine/bestof/VAR_Chief.asp


Thanks to David Pappert, a reader of my blog, here is an article of 2005 by Taleb showing his continued distaste for VaR.

http://www.lse.ac.uk/resources/riskAndRegulationMagazine/magazine/summer2007/epistemologyAndRiskManagement.htm

Posted by sunandoroy at August 20, 2007 04:41 PM

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