“ Indeed, Ethan Berman, the chief executive of RiskMetrics (and no relation to Gregg Berman), told me that one of VaR’s flaws, which only became obvious in this crisis, is that it didn’t measure liquidity risk — and of course a liquidity crisis is exactly what we’re in the middle of right now. One reason nobody seems to know how to deal with this kind of crisis is because nobody envisioned it. In a crisis, Brown, the risk manager at AQR, said, “you want to know who can kill you and whether or not they will and who you can kill if necessary. You need to have an emergency backup plan that assumes everyone is out to get you. In peacetime, you think about other people’s intentions. In wartime, only their capabilities matter. VaR is a peacetime statistic.
RISK Mismanagement - What Led to the Financial Meltdown - NYTimes.com
About Me
I'm nobody! Who are you?
Are you nobody, too?
Then there's a pair of us — don't tell!
They'd banish us, you know.
How dreary to be somebody!
How public, like a frog
To tell your name the livelong day
To an admiring bog!
—Emily Dickinson
