Friday, October 03, 2008

Wilmott Called The Subrime Crisis

Wilmott Magazine sent me some spam, and had this little self-promotional blurb:

Condé Nast's Portfolio magazine had this to say recently about Wilmott: “Paul Wilmott, publisher and editor in chief of Wilmott, is looking pretty smart these days. Wilmott and his magazine, which is aimed at the quantitative-finance community - the math geeks at banks and hedge funds - foresaw many of the problems that dominate the headlines today. He and the contributors to the magazine, whose influence far outstrips its small circulation, were railing about the limits of math and financial models far in advance of the meltdown."

I was pretty indifferent and ignorant of the mortgage-backed securities market in 2006, totally unaware it was a large part of investment bank portfolios, or what was going on in the new underwriting standards. It seems I was always out of earshot when the conversation turned to the seemingly obvious idea that mortgage portfolios were going to plummet. Add Wilmott and his multitude of prolific anonymous commenters to the list of those who saw this coming.

What I love is that Wilmott and his commenters love math and quantitative formulas, but also love Taleb, who blasts the application of these tools (or as they say in England, love maths). Talk about hedging your bets.

1 comment:

Anonymous said...

All you seem to be doing recently is take shots at others. You are starting to sound a whole lot like Taleb.