The Number That Killed Us: A Story of Modern Banking, Flawed Mathematics, and a Big Financial Crisis
“Pablo Triana, whose previous book was an elliptical trip around the world of risk entitledLecturing Birds on Flying, knows whereof he speaks. Indeed, he was one of the quants entrusted with the task of gaming VaR…Triana’s argument is that it wasn’t subprime US mortgages or excessive remuneration or even financial engineering as such that brought the banking system to its knees. It was the hubris of quants who believed that market risk could be encapsulated in a single number, the naivety of regulators who, he implies, did not have the little grey cells to argue with them, and the greed of banker bosses who quickly cottoned on that this ‘objective’ measure of risk was in fact highly subjective and infinitely manipulable…I hope [the book] prompts a response from VaR’s remaining defenders.”—Financial World