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The Number That Killed Us: A Story of Modern Banking, Flawed Mathematics, and a Big Financial Crisis [NOOK Book]

Overview

An unflinching look at the risk measurement tool that brought about the Great Recession

It's time to learn the truth about the financial crisis.

In The Number That Killed Us, risk management and derivatives guru Pablo Triana presents a shocking look at Value at Risk (VaR), the mathematical model that encouraged banks to take on toxic assets they should never have touched and that ultimately brought the international financial system to its ...

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The Number That Killed Us: A Story of Modern Banking, Flawed Mathematics, and a Big Financial Crisis

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Overview

An unflinching look at the risk measurement tool that brought about the Great Recession

It's time to learn the truth about the financial crisis.

In The Number That Killed Us, risk management and derivatives guru Pablo Triana presents a shocking look at Value at Risk (VaR), the mathematical model that encouraged banks to take on toxic assets they should never have touched and that ultimately brought the international financial system to its knees. Examining the myriad problems that went overlooked during the two decades when VaR was the king of financial management—including using the past to predict the future and depending on an algorithm instead of common sense—the book discusses topics such as: the history of VaR, its role in Washington, the role of regulators and academics in a malfunctioning financial world, how bonus-hungry traders used VaR as an alibi to take reckless bets, and much more.

Essential reading for individual and professional investors, market professionals, regulators, policymakers, and anyone who wants to really understand where all the money went, The Number That Killed Us drags the risk measurement tool that has repeatedly and severely hurt the financial world into the spotlight.

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Editorial Reviews

From the Publisher
“Pablo Triana, whose previous book was an elliptical trip around the world of risk entitled Lecturing Birds on Flying, knows whereof he speaks. Indeed, he was one of the quants entrusted with the task of gaming VaR…Triana’s argument is that it wasn’t subprime US mortgages or excessive remuneration or even financial engineering as such that brought the banking system to its knees. It was the hubris of quants who believed that market risk could be encapsulated in a single number, the naivety of regulators who, he implies, did not have the little grey cells to argue with them, and the greed of banker bosses who quickly cottoned on that this ‘objective’ measure of risk was in fact highly subjective and infinitely manipulable…I hope [the book] prompts a response from VaR’s remaining defenders.”—Financial World
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Product Details

  • ISBN-13: 9781118171547
  • Publisher: Wiley
  • Publication date: 11/1/2011
  • Sold by: Barnes & Noble
  • Format: eBook
  • Edition number: 1
  • Pages: 304
  • File size: 608 KB

Meet the Author

Pablo Triana is a professor at ESADE Business School, and the author of Lecturing Birds On Flying (also by Wiley) and Corporate Derivatives. He has published widely on risk management, derivatives, and banking regulation in many of the world's leading financial and business imprints. He has held various roles in the financial industry.

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Table of Contents

Introduction

When a Tie is More Than Just a Tie includes a Q&A with Nassim Taleb

April 28, 2004

Steve Benardete Gets His Wish, and the World Suffers

Chapter 1 The Greatest Story Never Told

Chapter 2 Origins

Chapter 3 They Tried To Save Us

Chapter 4 Regulatory Embracement

Chapter 5 Abetting the CDO Party

Chapter 6 VaR Goes To Washington

Chapter 7 The Common Sense That Should Rule the World

Finale The Perils of Making the Simple Too Complex

Guest Essay by Aaron Brown

A Risk Pioneer's View of Value at Risk

Notes

Acknowledgments

About the Author

Index

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