Speaking

Nassim kicks off The Bank of England’s One Bank Flagship Seminar, the first such seminar offered by the bank in an effort at greater transparency:

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, for two main reasons: 1) we need a lot, a lot more data for fat tails; and 2) we are going about estimators the wrong way. 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.

Nassim and Paul Wilmott are offering their “infamous” two-day seminar “Quantitative Risk Management: In Theory and In Practice” on March 12th and 13th, in London. Here are the points that will be addressed:

  • What is risk?
  • What are fat tails?
  • The idea of fragility and how to measure it
  • Size and scaling
  • The law of large numbers in the real world
  • What is complexity?
  • How to price options using different distributions
  • How to simulate fat tails
  • How to measure model risk
  • How not to measure model risk
  • Sometimes it’s wrong to use probabilities
  • The concept of delta-alpha
  • The commonest quant mistakes
  • The Greeks that give you false hope
  • Why calibration does not work
  • The dangers of correlation
  • The importance of nonlinearity
  • Volatility nonsense
  • What commonsense tells you about volatility, and turning that into a model
  • Why simple models are often the best and why too much math can be dangerous
  • A summary of what to do and where the real world is different

 

To register, please visit the Wilmott Forums.

necsi

Antifragility: A User’s Manual

Learn to thrive in a volatile and complex world by creating “antifragile” organizations that thrive on stress and disorder

A two-day program for senior management
November 4th and 5th, 2013
Cambridge, MA

Speakers:

Nassim Nicholas Taleb, Distinguished Professor, Polytechnic Institute of New York University

Yaneer Bar-Yam, President and Professor, New England Complex Systems Institute

Link to more details including registration here.