How Unlucky is 25-Sigma?
General Finance
2011-03-30 v1 Risk Management
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."
Cite
@article{arxiv.1103.5672,
title = {How Unlucky is 25-Sigma?},
author = {Kevin Dowd and John Cotter and Chris Humphrey and Margaret Woods},
journal= {arXiv preprint arXiv:1103.5672},
year = {2011}
}