Taleb: Statistics and Risk Two Different Businesses

Taleb: Statistics and Risk Two Different Businesses

In the risk business one is not so much concerned with the probability of loss as the expected size of the loss. We explore this idea for various probability distributions by looking at the expected loss given that the loss exceeds a certain threshold. We see for fat tails that the expected loss exceeds the threshold itself.

Nassim Nicholas Taleb: Silent Risk Review (I)

I have read most everything Nassim Nicholas Taleb has published. He is working on a new, more technical exposition to go along with his latest “Antifragile”. The draft of the book is called “Silent Risk” and is available on Taleb’s...