V.18:9 (48-63): Interview: Nassim N. Taleb by John Sweeney

V.18:9 (48-63): Interview: Nassim N. Taleb by John Sweeney
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Interview: Nassim N. Taleb by John Sweeney

Nassim Nicholas Taleb is a quantitative trader operating at the intersection of theory and practice. Currently president and head trader at Empirica Capital LLC, a hedge fund operator in Greenwich, CT, and adjunct professor of mathematics at the Courant Institute of New York University (NYU), Taleb has held senior derivative trading positions at Union Bank of Switzerland, CS – First Boston, BNP –Paribas, Credit Agricole – Indosuez, and Bankers Trust; he was also a floor trader on the Chicago Mercantile Exchange.

In 1997, Taleb stirred the incredulity of institutional heads and financial system regulators by pointing out the logical holes in the rapidly developing consensus that value at risk (VAR) was the best single measurement of an institution’s exposure to untoward events. He pointed out that, by definition, we do not know the distribution of future unusual events or even know how often they occur within the parametric distributions used by institutional financial engineers. He advocated taking positions based on available information and understanding rather than by what fell out of encoded differential equations.

Since that time, academics have started to explore mechanisms by which inefficient pricing and unusual events occur, and confidence in “engineered” measures has fallen in favor of more pragmatic, “know your business” rules for protecting institutions’ trading. For his part, Taleb took to exploiting the unusual opportunities available in equity options by establishing a private, closed, hedge fund operator, which is where STOCKS & COMMODITIES Interim Editor John Sweeney spoke to him in June 2000.

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