How Unlucky is 25-Sigma?
AbstractOne of the more memorable moments of last summer's credit crunch came when the CFO of Goldman Sachs, David Viniar, announced in August that Goldman's flagship GEO hedge fund had lost 27% of its value since the start of the year. As Mr. Viniar explained, "We were seeing things that were 25-standard deviation moves, several days in a row."
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Bibliographic InfoPaper provided by Geary Institute, University College Dublin in its series Working Papers with number 200838.
Length: 8 pages
Date of creation: 13 Apr 2010
Date of revision:
Other versions of this item:
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
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- NEP-ALL-2010-04-24 (All new papers)
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