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THENUMBER THATKILLED US: A STORYOFMODERN BANKING, FLAWED MATHEMATICS, AND A BIG FINANCIAL CRISIS Pablo Triana, New York: Wiley. $39.95.
Pablo Triana is not a man who minces his words. Here is how he describes Value at Risk (VaR) in his latest book:
As a tool that ignores the fundamental characteristics of assets, VaR can easily label the obviously risky as non-risky. VaR can mask risk so well that an entire financial system can be inundated with the worst kinds of exposures and still consider itself safe, assuaged by the rosy comforting dictates from the glorified analytical radar. VaR makes accumulating lots of toxic trading assets extremely feasible. VaR, in sum, enables danger.
That Professor Triana should have launched such an attack on VaR will come as no surprise to those who have read his earlier book, Lecturing Birds on Flying -where he also treated VaR in less detail -or indeed to readers of his columns in this magazine. He is well...