VaR – Value at Risk
There have been a rash of articles recently about Nassim Taleb’s old foe, Value at Risk. I particularly like Yves Smith’s [Naked Capitalism] critique of a Woefully Misleading Piece on Value at Risk in New York Times and Bill Werner’s Casino Wall Street.
(I actually thought the original Joe Nocera piece on value at risk models acknowledged, between the lines, the Smith points … but there’s nothing wrong with grinding them in.)
UPDATE: I meant to include Mark Thoma’s Economist View post called Risk Management but lost the link. It is an excellent follow-on and extension to Smith’s article.