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- W2488004907 abstract "This chapter discusses how VaR was generally deeply loved and highly respected from the late 1980s to mid-2007 and yet, the VaR field in those days was not entirely devoid of rebel contrarians, more than willing to accuse the deified model of terrible shortcomings and of containing the seeds of chaos. The chapter further describes the role played by Nassim Taleb in the VaR issue and what he thought about it. It highlights how Avinash Persaud was an early identifier of VaR's appetite for destruction. The chapter also illustrates why Jon Danielsson pointed out that VaR models suffer from the Normality affliction and thus are bad capturers of the non-Normal extreme events that characterize markets. The visionary wisdom of the rebel triad was irremediably lost, rather than handed down to today's and future bankers and policy makers so that they know better than to repeat the same mistakes." @default.
- W2488004907 created "2016-08-23" @default.
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- W2488004907 date "2012-01-02" @default.
- W2488004907 modified "2023-09-23" @default.
- W2488004907 title "They Tried to Save Us" @default.
- W2488004907 doi "https://doi.org/10.1002/9781119198826.ch3" @default.
- W2488004907 hasPublicationYear "2012" @default.
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