Monday, January 5, 2009

Required Reading: Nocera and Lewis/Einhorn in New York Times

In the event anyone missed them, I want to make sure I offer up a link to two excellent thought pieces from Sunday's New York Times. In no particular order:

  1. Joe Nocera’s superb Risk Management, an examination of Value at Risk (VaR) in Sunday’s New York Times Magazine. (Joe also blogs about a wide variety of business topics for the New York Times at Executive Suite.)

  2. Michael Lewis and David Einhorn's The End of the Financial World as We Know It
at

5 comments:

  1. YQ (lcheng8@gmail.com)January 5, 2009 at 3:08 PM

    Hi Bill,

    Do you have historical data of VIX? Is there any gap unfilled in VIX chart before last Sept.? I notice the september 08 VIX gap has been unfilled and think it might be filled soon.

    Thanks,
    YQ

    ReplyDelete
  2. AnonymousJanuary 5, 2009 at 3:19 PM

    Thanks for pointing out the VaR article. And thanks for putting up such excellent blog.

    ReplyDelete
  3. Bill LubyJanuary 5, 2009 at 4:08 PM

    Hi YQ,

    Looking at daily bars, the VIX rarely leaves gaps unfilled for long.

    If you ignore the intra-day VIX high (42.16) from 9/18 and just look at the open and close, then it looks as if we are close to closing that end of September gap.

    Prior to September, I do not believe you will find any gaps in the VIX of any kind.

    Cheers,

    -Bill

    ReplyDelete
  4. bzbtraderJanuary 6, 2009 at 8:57 AM

    Bill,
    Many, many thanks for those 2 links. They give new meaning to the addage that econonics is "the dismal science".

    ReplyDelete
  5. KiaraAugust 19, 2009 at 10:41 PM

    Nice Post!!
    Thanks for putting these links here!

    ReplyDelete