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

5 comments:

YQ (lcheng8@gmail.com) said...

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

Anonymous said...

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

Bill Luby said...

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

bzbtrader said...

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

Kiara said...

Nice Post!!
Thanks for putting these links here!

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