One Question for David Viniar

Goldman Sachs CFO David Viniar is a man who, one can assume,

is reasonably au fait with numbers. So what on earth was he thinking

when he said


“We were seeing things that were 25-standard deviation moves, several

days in a row,” said David Viniar, Goldman’s chief financial officer.

“There have been issues in some of the other quantitative spaces. But

nothing like what we saw last week.”

For one thing, 25-standard-deviation moves just don’t happen. Or, in Brad

DeLong’s words,

"the universe isn’t old enough for even one sixteen-standard-deviation

event to have ever happened".

But more to the point, the markets were volatile, but they weren’t that

volatile. To the untotored eye, there was nothing outrageously unprecedented

going on. So my one question for David Viniar is this:

What, exactly, was it that saw a 25 standard deviation move?

A chart would be nice. But just the name of whatever it is that Viniar had

in mind would help. Because I’ve certainly never seen such an animal

before, and if one has been caught in the wild, as it were, it would be nice

of Goldman to let the rest of us see it.

(Via Yves


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