By Alan Greenspan
The most credible explanation of why risk management based on state-of-the-art statistical models can perform so poorly is that the underlying data used to estimate a model’s structure are drawn generally from both periods of euphoria and periods of fear, that is, from regimes with importantly different dynamics.
[Read More:FT.com]
Paul Krugman: Greenspan lectures us again
I once said of Alan Greenspan: He’s like a man who suggests leaving the barn door ajar, and then - after the horse is gone - delivers a lecture on the importance of keeping your animals properly locked up. He’s still doing it. He begins: The current financial crisis in the US is likely to be judged in [...]
[Read More:Paul Krugman Blog]
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