Re:A critique of The Black Swan
by thomaspaine on Monday February 09, 2009 @11:23PM
(#474688)
There are other types of distributions which fit black swan type data better, such as power-law distributions, Gumbel distribution, etc. I don't know if research in extreme value theory is still a hot topic, but it tries to address these problems. Here is a paper on risk management and extreme value theory: http://tinyurl.com/aa7t6m
Here is a nice paper on risk measures, and points out some of the problems with VaR: http://tinyurl.com/ar3336
My apologies if you're unable to grok the contents of these papers...they're both a little technical but I can't think of anything off the top of my head that's more accessible.
Here is a nice paper on risk measures, and points out some of the problems with VaR: http://tinyurl.com/ar3336
My apologies if you're unable to grok the contents of these papers...they're both a little technical but I can't think of anything off the top of my head that's more accessible.