Bank of England Flagship Seminar with Nassim Nicholas Taleb
50,890
Published 2016-02-22
In addition to his trader life, Taleb has also published, as a backup of The Incerto, more than 45 scholarly papers in statistical physics, statistics, philosophy, ethics, economics, international affairs, and quantitative finance, all around the notion of risk and probability. He spent time as a professional researcher (Distinguished Professor of Risk Engineering at NYU’s School of Engineering and Dean’s Professor at U. Mass Amherst).
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. 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.
This is a live stream of the event which took place on 18 February 2016.