When the financial crisis broke in August 2007, David Viniar, chief financial officer of Goldman Sachs, famously commented that 25-standard deviation events had occurred on several successive days. If you marked your position to market every day for a million years, there would still be a less than one in a million chance of experiencing a 25-standard deviation event. None had occurred. What had happened was that the models Goldman used to manage risk failed to describe the world in which it operated.
2007年8月金融危機爆發伊始，高盛(Goldman Sachs)財務長戴維•維尼亞(David Viniar)曾發表過一個著名的評論：標準差爲25的事件連續幾天出現。假如你在100萬年的時間裏每天都按市值計算自己的頭寸，遇到一次標準差爲25的事件的幾率仍不到一百萬分之一。這種情況從未出現過。問題出在高盛的風險管理模型未能正確描述自己所處的世界。
您已閱讀13%（682字），剩餘87%（4661字）包含更多重要資訊，訂閱以繼續探索完整內容，並享受更多專屬服務。