Black swans and financial risk management

[Cain]

http://www.nytimes.com/2009/01/04/magazine/04risk-t.html

The problem, basically, is asymmetrical payoff.  99% of the time, the payoff was big, and worth the risk.  1% of the time, it caused a catastropic meltdown. 

[Bebek Sincap Ratatosk]

Taleb, Our Lady's Non-Prophet for the 21st Century

[LMNO]

Not to besmirch NT, but there seems to have been a few other problems at hand; GIGO, insufficient data, and the map/territory thing.

After all Goldman Sachs used VaR, but they noticed something weird was happening; so they went conservative, shored up their accounts, and missed the worst of it.

In short, it wasn't completely the VaR in itself, it was also that it was used improperly.