Nassim Nicholas Taleb

New York University (NYU) - Tandon School of Engineering

6 MetroTech Center

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

7

DOWNLOADS

49,492

CITATIONS

5

Scholarly Papers (7)

1.

We Don't Quite Know What We are Talking About When We Talk About Volatility

Journal of Portfolio Management, Vol. 33, No. 4, 2007
Number of pages: 8 Posted: 14 Mar 2007 Last Revised: 14 Dec 2017
Daniel G. Goldstein and Nassim Nicholas Taleb
Microsoft Research New York City and New York University (NYU) - Tandon School of Engineering
Downloads 35,695 (36)
Citation 4

Abstract:

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finance, volatility, risk, intuition, statistics, metrics

2.

A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing

IMF Working Paper No. 12/216
Number of pages: 25 Posted: 03 Oct 2012
New York University (NYU) - Tandon School of Engineering, International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 4,923 (1,349)
Citation 1

Abstract:

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Stress Testing, Forecasting, Stability, Banks, Economic Models, Public Debt

3.

The Decline of Violent Conflicts: What Do the Data Really Say?

The Nobel Foundation, Causes of Peace, Forthcoming, NYU Tandon Research Paper No. 2876315
Number of pages: 26 Posted: 30 Nov 2016
Pasquale Cirillo and Nassim Nicholas Taleb
Delft University of Technology and New York University (NYU) - Tandon School of Engineering
Downloads 3,682 (2,248)

Abstract:

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4.

The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses

International Journal of Forecasting, Forthcoming
Number of pages: 4 Posted: 10 Oct 2011 Last Revised: 14 Dec 2017
Nassim Nicholas Taleb and Daniel G. Goldstein
New York University (NYU) - Tandon School of Engineering and Microsoft Research New York City
Downloads 2,988 (3,245)

Abstract:

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5.

Expected Shortfall Estimation for Apparently Infinite-Mean Models of Operational Risk

Quantitative Finance, Volume 16, 2016 - Issue 10
Number of pages: 23 Posted: 27 Oct 2015 Last Revised: 12 Jan 2017
Pasquale Cirillo and Nassim Nicholas Taleb
Delft University of Technology and New York University (NYU) - Tandon School of Engineering
Downloads 1,393 (11,673)

Abstract:

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Operational risk, Expected Shortfall, Infinite Mean, VaR

6.

On the Statistical Properties and Tail Risk of Violent Conflicts

Physica A., Forthcoming, NYU Tandon Research Paper No. 2675355
Number of pages: 13 Posted: 18 Oct 2015 Last Revised: 27 Jun 2017
Pasquale Cirillo and Nassim Nicholas Taleb
Delft University of Technology and New York University (NYU) - Tandon School of Engineering
Downloads 676 (33,988)

Abstract:

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Risk, Extreme Value Theory, Black Swan, Violence

7.

Gini Estimation Under Infinite Variance

Number of pages: 22 Posted: 21 Jul 2017 Last Revised: 22 Dec 2017
Andrea Fontanari, Nassim Nicholas Taleb and Pasquale Cirillo
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), New York University (NYU) - Tandon School of Engineering and Delft University of Technology
Downloads 135 (196,546)

Abstract:

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Gini index; inequality measure; size distribution; extremes; α-stable distribution