One Bank Flagship Seminar by Nassim Nicholas Taleb

The Law of Large Numbers in the Real World and Detecting Fragility

Event date: 18 February 2016

The first part of this talk – The Law of Large Numbers in the Real World – presents fat tails, defines them, and shows how the conventional statistics fail to operate in the real world, particularly with econometric variables, for two main reasons: 1) we need a lot, a lot more data for fat tails;  and 2) we are going about estimators the wrong way.

The second part – Detecting Fragility – presents heuristics to detect fragility in portfolios. Fragility is shown to be ‘anything that is harmed by volatility’. The good news is that while (tail) risk is not measurable, fragility is.

Join the conversation, use the Hashtag for this event: #BoETaleb

Was this page useful?
Add your details...