Published by sunandoroy on Mon, 2007-08-20 15:41
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/summer…
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