on 24 February 2013
I really was waiting for a book like this, having suspected the author's claim of faulty econometrics 'progress' all through the nineties, starting with the 'internet game' RISKMETRICS endeavored by JP MORGAN to 'publicly' put forward, on the internet, econometrics models for 'all' to criticise (but NEVER to mention/name the critic, which outed scientific criticism for lack of citation qualifications).
I have not finished reading the book in its entirity yet, but the chapters I have read are actually 'enough' to have stilled my hunger.
I plan to use this book in a post-graduate course called: 'Financial crises after WW II' starting next september.
The only reason I did not grade the book 5 stars is the author's apparent hesitation to formally -I mean step by step- destroying the VaR-model. But rest assured: I can do that myself.
Very informative book, no negative points as far as I'm concerned. Alas, only a few of the people that MUST read it, WILL read it.
That is a pity and that is putting it mildly.