Can we get a bit more specific than waving around marketing materials?
Precisely which things turned out to be correlated that LTCM people assumed to be uncorrelated and precisely the returns on which positions the LTCM people assumed to be Gaussian when in fact they were not?
Or are you critiquing the VAR approach to risk management in general? There is a lot to critique, certainly, but would you care to suggest some adequate replacements?
Can we get a bit more specific than waving around marketing materials?
Precisely which things turned out to be correlated that LTCM people assumed to be uncorrelated and precisely the returns on which positions the LTCM people assumed to be Gaussian when in fact they were not?
Or are you critiquing the VAR approach to risk management in general? There is a lot to critique, certainly, but would you care to suggest some adequate replacements?