黑天鵝

2008/01/25

http://www.nytimes.com/2008/01/25/business/worldbusiness/25bank.html?ref=business

French Bank Says Rogue Trader Lost $7 Billion

睇見都嚇左一嚇,還來不及數算1Billion有幾多個零既時候,然後就想起唔知幾多年前有個𡃁仔就咁炒起左間銀行,之後又唸起人地話每日收市後都要計一大輪數交report俾controller⋯⋯

昨日(定係前日?)還在痛心點解我唔遲半年先買隻輪,如果唔係已經發到豬頭咁,話唔定自己有錢交學費,冇幾耐就全球股票市場風起雲湧,又升又跌千幾二千點,人人都話因為外圍因素於是唔會有大奇蹟日,點鬼知一日又升番二千幾點,好彩我冇買輪,以我咁既心理質數,肯定輸餐死。

今日又見黑天鵝

好得意的。

Before discovering the fraud, Société Générale had been preparing to announce pretax profit for 2007 of 5.5 billion euros, or $8.07 billion, figures that Mr. Bouton said would have demonstrated “our capacity to absorb a very grave crisis.”

風高浪急,危機四伏,當咁多間銀行都貶到爬街、啲CEO都曾住唔出糧以示跟公司同生共死既時候,佢仲賺六百幾億(小弟都contribute左六千幾),都好難怪佢唔鬆毛鬆翼咁話自己好勁。可以比一個交易員輸五百幾億,好明顯係响事發之前冇乜人留意到,如果唔係,就唔會輸咁多錢。

黑天鵝(又或者係Fool by randomness)既中心思想係,最會令人輸大錢既,係一啲你從來都估唔到佢會發生既事,簡單黎講,即係The Impact of the Highly Improbable(即係Black Swan既副題)。

Black Swan 裏有一個故事:主角Taleb跟兩個人玩遊戲,一個主張"Finding who the sucker is"的充滿street smart的Fat Tony,另一個是工程學的Phd Dr. John。(唔好煩,懶得中譯,原文照錄)

Taleb: Assume that a coin is fair, i.e., has an equal probability of coming up heads or tails when flipped. I flip it ninety-nine times and get heads each time. What are the odds of my getting tails on my next throw?
Dr. John: Trivial question. One half, of course, since you are assuming 50 percent odds for each and independence between draws.
Taleb:What do you says, Tony?
Fat Tony: I’d say no more than 1 percent, of course.
Taleb: Why so? I gave you the initial assumption of a fair coin, meaning that it was 50 percent either way.
Fat Tony: You are either full of crap o a pure sucker to buy that “50 percent" business. The coin gotta be loaded. It can’t be a fair game. (translation: it is far more likely that your assumptions about the fairness are wrong than the coin delivering ninety-nine heads in ninety-nine throws.)
Taleb: But Dr. John said 50 percent.
Fat Tony (whispering in my ear): I know these guys with the nerd examples from the bank days. They think way too slow. And they are too commoditized. you can take them for a ride.

利森做低左霸菱銀行之後,連大學生去見工都識得答要做好風險管理,但係講還講,現實証明左總有些地方會出事,而且係大件事。如果睇得穿次按危機風險評級問題既係叫做跟足assumption咁玩遊戲,咁,原來最安全既地方係最危險既,計左一大輪數原來發現係個assumption錯左(Taleb好鐘意用既例子—呢一兩年人人都識講既Black-Scholes竟然係based on Gaussian Distribution,而佢本人,同佢老細Benoît Mandelbrot(發明/發現fractal果位仁兄),都係唔同意用Gaussian黎分析stock market既)。而今次,佢地計到出面有事,之但係睇唔到自己裏面管理原來係千瘡百孔(又係果句,如果佢事先就知,就唔會輸咁多)。

千算萬算,就係算唔到自己裏面有問題(又或者算到,就好似上面篇報篇提到,好地地冇理由一個交易員可以動用到咁多錢既,佢輸咁多錢,前提係佢要有番咁上下錢落注,好喇好喇比你借錢借到幾百億番黎,咁大間銀行真係冇奶油唔發覺。所以呢位交易員可能只係替死鬼),間銀行咁多人咁多資源咁多心機賺番黎既錢,一條友就可以輸番曬(輸錢事少,就算呢間銀行今年貶錢,都大把人陪,之但係,失節事大)。

十二年前發生過既事,今日重演,又有咩咁出奇?(呢啲係唔係叫做retrospectively (in contrast to prospectively) predictable?)

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11 回應 to “黑天鵝”

  1. Yun Says:

    I just heard this on the news, I couldn’t understand how can this happened?!! And the cover up was over a year of time?! This guy was out of his mind! (Um, shouldn’t one billion equal 十億﹐not 百億? I always have troubles thinking numbers in the western way vs Chinese way too!)

    I also couldn’t understand the subprime crisis either. How can the banks/loaning companies not see it?! Few years ago, when I knew that was how people taking out loan, I worried for them!! And I kept thinking how can bank still lending them money, that’s outrageous!! Well, don’t call me cold hearted, I don’t have too much sympathy for them, cuz people were tapping into money that were theirs anyway, so no need to cry when they lose something that don’t belong to them in the first place!!

    Your story from “Black Swan" sounds very familiar, is it original from “Black Swan?" It feels like I heard of it long time ago.

  2. C.M. Says:

    Taleb likely prefers himself being called a street-smart to a scholar.

    Though not expected, I yelled “Again!" when I first heard about that.

    Yun :: …… the subprime crisis either. How can the banks/loaning companies not see it?! ……

    云,對於我來說,你的疑問和 Taleb 的故事,其實似乎反映了一點:法治精神。(哈,等我再諗諗先)

  3. Justin Says:

    Yun: I think that guy is the scapegoat. Unbelievable that a trader can make such a big bet without being notice…

    Haha, black swan, i dun know what do you mean by original from “black swan". Black Swan is a book that published last year, and the concept of black swan was first used by JS Mill (according to the book), i guess you should hv heard of it.

    CM: So do I!!

    法治精神?!關咩事?!願聞其詳。

  4. Yun Says:

    Justin: I don’t mean “Black Swan," I meant that story you quoted from the book.

    CM: 法治精神… please elaborate.

  5. 米搞 Says:

    雲:

    這是一條簡單的方程式,假設你是banker,你知道當你做出一些高風險的投資(同時有較高的回報)時,如果夠「勁」可以影響國家的經濟的話,出事時國家一定會「打救你」(即你的風險給轉移了給國家),那麼,你當然會為了爭取高回報而去冒險投資,因為如果博到高回報,得益的是banker本人。

    另外,在借款的一方,人言報的練乙錚剛在上週談到一個有關美國汽車次按貸款的硏究,話說借得最豪買最豪華的車的一群人,正正是還款能力最成疑的一群...反正預了不能還,何必不先享受?

    這就是次按會越玩越大的原因。

  6. gordon Says:

    呢個trader係替死鬼真係絕對唔出奇,我都聽到多少江湖傳聞
    有咩咁快可以搵到策略投資者可以出錢填番條數

  7. C.M. Says:

    Justin and Yun:

    法治精神, right. 想了幾日,jog 低了十幾行字,搵日再講。

  8. Justin Says:

    Yun: The story I hv quote is from the book “Black Swan".

    米搞:>>如果夠「勁」可以影響國家的經濟的話,出事時國家一定會「打救你」

    呢句真係超同意。之前响唔知道到睇到一句,講過差唔多既野,大概係話:如果你冇錢還俾銀行,then you are in trouble。之但係,如果你借得夠多錢既話,then the bank is in trouble。

    一去到呢個位,個心就真係頂住頂住。大佬,金融體系出事就要由納稅人一齊集體負責,之但係平日無事無幹班banker就發大達,呢個乜野世界?!

    Gordon: 咪係囉。五百幾億,一個週末就搵到番黎。都咪話唔勁!

    CM: 我等你。

  9. leona Says:

    最近事忙,今天才認真看你這篇文章,十分有趣!
    你引用的那個例子,Greg也說過給我聽,盡得該書精髓

    BTW,Kris明天要present Fooled by Randomness這本書,個細路被其他瑣事弄得一頭煙,你主動去問問他,看是否能幫上忙?

  10. Kris Says:

    宜家STA/RMS/QFN 計d 數幾乎全部依賴Black-Scholes model喎,我上個sem先讀左d Gaussian Distribution,咁我係咪應該同個course coordinator同埋我班同學講你地讀既assumption全部都係狗屎?hahaha

    但見stat lab 日日都有學生用上堂學返黎既analytic model 去炒股票…係佢地識得太少,定係就算知道都好都係賺到錢就算數?

  11. Justin Says:

    Leona: 呢個𡃁仔淨係present一個chapter,幫唔到幾多~~

    Kris: 千祈唔好咁講呀。賭枱上面全部都係gaussian distribution,taleb經常強調,賭場係呢個世界裏要uncertainty最低既地方,因為the law of big number,所以長賭必輸。
    何生就係靠gaussian distribution發達。

    之但係咁,gaussian distribution响大部份情況都岩用,black-schole响大部份時間都係合理既一樣,只不過,响一些rare situation,跟住black-scholes就會輸大錢。


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