naked capitalism: Woefully Misleading Piece on Value at Risk in New York Times
By neglecting to expose this basic issue, the piece comes off as duelling experts, and with the noisiest critic of VaR, Nassim Nicolas Taleb, dismissive and not prone to explanation, the defenders get far more air time and come off sounding far more reasonable. It similarly does not occur to Nocera to question the "one size fits all" approach to VaR. The same normal distribution is assumed for all asset types, when as we noted earlier, different types of investments exhibit different types of skewness. The fact that VaR allows for comparisons across investment types via force-fitting gets nary a mention.
Shouldn't someone tell the markets that as long as you do a little statistical diddling VaR works just fine?
The last year has been a lot of fuss over nothing, clearly.
