Haiku Schmaiku
Howdy Ma'am,
Just spam, I am.
Five syllables short-- Bloggerel Doggerel blog, 2007
Verse is courtesy of The Climateer, who doesn't write about climate too often, thankfully! He has a great blog description which is perpetually relevant: "In war, everything not censored is a lie."
The Climateer DOES write about investment bankers who blame statistics for their poor trading decisions... or possibly, outright deceptive practices. There was a lot of that going on in 2008. I finally hoisted some posts about double-digit standard deviations from my bookmarks and read them.
25 Sigma Event Very Unlucky
From Climateer Investor and others along the way, it seems like a 25 sigma event is impossible. "How unlucky is 25 sigma?" (2011): When Goldman Sachs was Really, Really Unlucky:
"One 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.”
One commentator wryly noted:
"That Viniar. What a comic. According to Goldman’s mathematical models, August, Year of Our Lord 2007, was a very special month. Things were happening that were only supposed to happen once in every 100,000 years. Either that … or Goldman’s models were wrong."
See too the follow-up post a few months later in December 2011, "Barclays Hit With "Immense" Copper Trading Loss; 50 Sigma Move In Cancelled Aluminum Warrants. 50 sigma events don't happen.
David Viniar has quite a colorful past regarding accuracy and math. The Wall Street Journal wrote this fun, very brief article about him in 2012, Goldman Sachs CFO To Moody's: You Make No Sense. There's no paywall for you my loyal readers, because I get special links as a subscriber. Choice excerpts:
Goldman Sach's CFO David Viniar was asked on the bank's conference call about a possible downgrade by Moody's to Goldman and other investment banks. He responded with a sharp critique of Moody's ability to analyse."We are as you know, we are quite analytical and when we do all of the analysis we cannot figure out why they are where they are," Viniar said. He added coyly "And so I just wanted to tell you that."But Moody's isn't alone in having its math questioned by Viniar. Viniar also seemed perplexed by the Federal Reserve's arithmetic...
