O!

[birdwatcher]

Bloomberg Top News -- Universities must change because they teach mathematical theories, such as the Black-Scholes model of pricing options, that don't express risk properly, Taleb said in a Bloomberg Radio interview.

``Recent events have proved that all risk management was wrong,'' Taleb said. ``We need to do something drastic immediately to stop quantitative risk managers from inflicting more damage.''

Academic teaching resists change because tenured professors aren't forced to adapt and aren't subject to the same ``rigorous standards'' that the market imposes on Wall Street, Taleb said.

``People are learning the wrong thing,'' he said.

``You have a business school establishment that's completely disconnected from what's going on'' because it depends too greatly on equations, Taleb said. ``We should learn to abandon these bogus matters and instead of using a computer we should look at the world with the naked eye.''

Comments

[rejas.livejournal.com]

Согласен. И в той бизнес-школе, где я посетил несколько курсов, про границы применимости моделей говорили гораздо меньше, чем следовало бы, это точно.

Как сейчас помню, как я был удивлён услышать, что риск-менеджмент Мерилл Линча (считавшийся на тот момент образцовым) строит все модели на статистике одного (!) года. Тут даже не про границы применимости речь, тут модель не ловит даже те риски, которые явно видны из статистики последних пары мелких кризисов! И это лучшие люди на Уолл-стрит!

[averros.livejournal.com]

The problem with econometrics is, in fact, fundamental. All these indicators of economic activity and risk management are ultimately intended to have a predictive power regarding human activity. The hidden assumption in all of the econometrics is always boils down to some kind of model of mind (be it "rationality" in neoclassical economics, "animal spirits of the market" and linear projection in Keynesian economics, empirical models of neuroeconomics, or ad-hoc models of typical quants).

Unfortunately, all these models rely on aggregation of personal utility functions, which are easily shown to be non-additive. The whole edifice of econometrics relies on a mathematically invalid operation - which is exactly the reason why no two different models give the same result. It is logically possible to derive anything from a false proposition.

(The only economic school studiously avoiding that fault by treating humans as black boxes is Austrian, but it is not in vogue because it yields only qualititative results).