Wednesday, 7 January 2009

Running the Risk – Foreigner (1994)

VaR or Value-at-Risk took center stage in last Sunday's edition of The New York Times Magazine in a cover story entitled "Risk Mismanagement" by Joe Nocera. The subtitle summarizes the debate: What Led to the Financial Meltdown: Mathematical Models Used to Evaluate Wall Street Traders? Or Bankers Who Misread or Ignored them?

If anything, it's a fascinating account of how the concept came about and became a "gold standard" as far as risk-models are concerned. Yes, it has it does have its proponents and detractors.

After reading the article, let me know where you fall on this debate.

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