“Whenever something has no chance of failure, the probability of model failure becomes important. Quite often that probability overshadows the predicted model by orders of magnitude.” So much wisdom. Sort of reminded me of “Black swan” book, by Nassim Taleb, often these unlikely evens have inverse relationship with their consequence, exactly because of how unlikely they were that nobody cared of putting contingencies in place..
Hi Patrick, thank you for your videos. May I kindly ask if VaR theory to convert monthly std to daily std via /sqrt(workdays) can be applied outside of finance? For example to calculate the peak capacity of inbound shipments into a warehouse?
“Whenever something has no chance of failure, the probability of model failure becomes important. Quite often that probability overshadows the predicted model by orders of magnitude.” So much wisdom. Sort of reminded me of “Black swan” book, by Nassim Taleb, often these unlikely evens have inverse relationship with their consequence, exactly because of how unlikely they were that nobody cared of putting contingencies in place..
Good to know disadvantages of VaR.
Definetly an underastemated video
Hi Patrick, thank you for your videos. May I kindly ask if VaR theory to convert monthly std to daily std via /sqrt(workdays) can be applied outside of finance? For example to calculate the peak capacity of inbound shipments into a warehouse?