Pass the microphone: Humphreys to Strickland


Q1. How would you respond to Nassim Taleb’s assertion that due to black swan events, current risk management practices can be worse than useless in that it may be either misleading or give you a false sense of security?

In many ways I agree with this assertion, especially for the many companies where risk management is synonymous with value-at-risk – even more so if the implementation of VAR is just a simple analytic or a delta VAR calculation, which in the majority of cases it is. This type of

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