Apr

14

Andrew HaldaneThis speech by Andrew Haldane (Why Banks Failed the Stress Test, 13 February 2009) at the Bank of England has some great charts in the back that deal with kurtosis (fat tails or black swan events) back to the South Sea bubble. This puts these events into perspective, comparing to WW II, the 1970s etc.

Also some great historical insights into the the three recent black swans, caused by "risk managment"' failure: Oct 1987, LTCM Crisis and housing bubble, all roughly a decade apart.

It also has hints of what might be coming for UK, and for the future of risk management.


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