How Unlucky is 25-Sigma?
Abstract
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."
- Publication:
-
arXiv e-prints
- Pub Date:
- March 2011
- DOI:
- 10.48550/arXiv.1103.5672
- arXiv:
- arXiv:1103.5672
- Bibcode:
- 2011arXiv1103.5672D
- Keywords:
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- Quantitative Finance - General Finance;
- Quantitative Finance - Risk Management