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Raffiniert: Wetten auf fallende Rohölnotierungen

Ein Beitrag auf Bloomberg über Ölraffinerien könnte für Anleger in Ölwerten interessant sein. Die Kurse der Raffinerien haben unter den steigenden Ölpreisen sehr gelitten, Vorstände dieser Firmen kaufen verstärkt die Aktien ihrer Firma und Hedgefonds beteiligen sich an diesen Wetten auf sinkende Ölpreise mit Longpositionen in Unternehmen wie Tesoro [TSO], Holly [HOC], Valero [VLO] und Sunoco [SUN].

Refiner Insiders Buy Most Stock Since 2000 on Oil Bet

23.06.2008 (Bloomberg) — Refinery executives are buying more of their own stock than at any time since 2000, prompting investors to bet that a retreat in oil will boost profits and reverse the biggest share decline in a decade.


Fear of a Black Swan

Zwei Interviews mit Nassim Taleb:

Risk guru Nassim Taleb talks about why Wall Street fails to anticipate disaster.

By Eric Gelman, assistant managing editor

(Fortune Magazine) — In two bestselling books, “Fooled by Randomness” and “The Black Swan,” Nassim Nicholas Taleb has explored the ways people misunderstand randomness and risk. At the heart of his thinking is the idea of a “Black Swan” – an unlikely but not impossible catastrophe that no one ever seems to plan for. In an e-mail and telephone exchange with Fortune’s Eric Gelman that began with Taleb in the Yucatán for the equinox, the New York City-based former trader turned scholar and essayist expounds on the role of Black Swans in the current market crisis.

What is a Black Swan?

    What I call a Black Swan is a surprise event – like the discovery of the black bird in Australia, which was unpredictable because swans in the Old World were all white. But unlike the bird, my Black Swan carries large consequences.

    There are two types of businesses: those that are exposed to Black Swans and those that are relatively insulated from them – not because Black Swans cannot occur, but because their impact is not going to be monstrous. Your dentist’s income will not disappear on a single day: No single event will carry big consequences for her. But trading profits can all be lost by a single transaction. So some businesses are insulated, some (like technology) are exposed to positive Black Swans, and others are exposed to negative ones.

Most people seem to have been caught off-guard by the subprime crisis, yet such an event was not only predictable but also inevitable. It was a Black Swan, yes?

    The Black Swan is a matter of perspective. A turkey is fed for 1,000 days – every day lulling it more and more into the feeling that the human feeders are acting in its best interest. Except that on the 1,001st day, the butcher shows up and there is a surprise. The surprise is for the turkey, not the butcher. Anyone who knows anything about the history of banking (or remembers the 1982 Latin American debt crisis or the 1990s savings and loan collapse) will tell you that the subprime crisis was so bound to happen. Banks are exposed to such blowups. Bankers have been the turkey, historically.

    So I call these crises “gray swans.” I’ve been telling anyone willing to listen that banks have a tendency to sit on time bombs while convincing themselves that they are conservative and nonvolatile.


The idea that catastrophe can strike without warning does not seem particularly hard to understand. Why doesn’t Wall Street ever seem to allow for that possibility? And why doesn’t it learn from past catastrophes?

    Let me blame business schools and the financial economics establishment – they have a vested interest in promoting models and devaluing common sense.

    I worked on Wall Street for close to two decades in trading and risk management of derivatives. I noticed that while portfolio models got worse and worse in tracking reality, their use kept increasing as if nothing was happening. Why? Because in the past 15 years business schools accelerated their teaching of portfolio theory as a replacement for our experiences. It looks like science, and they have been brainwashing more than 100,000 students a year. There is no way my experiences can be transmitted to the next generation because of these schools. We’ve had fiascoes in finance that they need to neglect because they contradict their models. The problem may also be the Nobel in economics that gave a stamp to these junky theories. Someone needs to make the Nobel committee account for this, for the damage to society – and I hope to do so.


Is there something fundamentally wrong with the structure of the U.S. financial system? What can be done to fix it?

    In the past, the financial world had a very diversified ecology: banks going bust on a steady basis. They were not all homogeneous.

    Today the entire banking system is dominated by a few monster banks, and almost all have the same exposures. So the system became less and less volatile while becoming riskier and riskier. So we moved from the more resilient ecology to a more concentrated architecture. I used to say, “You trade with a bank, you end up trading with J.P. Morgan (JPM, Fortune 500).” Well, it turned out to be true with the Bear Stearns (BSC, Fortune 500) rescue.

Quelle – das gesamte Interview

Ein weiteres Interview mit Taleb

Jan. 28 (Bloomberg) — Nassim Taleb, author of “The Black Swan: The Impact of the Highly Improbable,” talks with Bloomberg’s Tom Keene about risk management and the vulnerability of financial institutions to fraudulent activity, the impact of over-expansion on the security of the banking system, and the role of governments in supporting investment banks. (Source: Bloomberg)

Nassim Taleb Says Fraud Is Avoidable With Smaller Bank System (Download oder direkt hören; mp3, 7,6 MB)

Dr. Greenspan’s Amazing Invisible Thesis

Eine Dissertation unter Verschluss

Der ‘Barron’s’ berichtet in seiner jüngsten Ausgabe von einer delikaten Buchveröffentlichung. Im Mai diesen Jahres wird von Robert Auerbach ‘Deception and Abuse at the Fed: Henry B. Gonzalez Battles Alan Greenspan’s Bank’erscheinen. Portraitiert wird ein ehemaliger Vorsitzender der US Notenbank, der es wohl nicht so genau nahm mit seiner akademischen Laufbahn. Der ‘Wizard’ schaffte es seine Dissertation hinwegzuzaubern – unauffindbar.

Auerbach contends in his book that Greenspan’s invisible Ph.D. thesis is symbolic of a career marked by prevarication, cover-ups and a general aversion to making the Fed more publicly accountable. He calls on Congress to “bring the Fed into the Democracy” because “unelected Fed decision makers should not decide what the public should know about how they are running the central bank.”

Unlike Greenspan, Auerbach writes: “No one should be given the immense powers bestowed on the Board of Governors and the FOMC without having his or her credentials publicly examined.”


Das Osterwetter wird schlecht – Literatur zur aktuellen und zu historischen Finanzkrisen

Das Osterwetter wird schlecht. Wer den Osterspaziergang ausfallen lässt, findet hier zwei Aufsätze eines Autoren-Teams, das in jüngster Zeit von sich Reden macht.
Carmen Reinhart und Kenneth Rogoff haben eine Datenbank über Finanzkrisen (leider nicht öffentlich) zusammengestellt, die 8 Jahrhunderte und 66 Länder abdeckt.

Der erste Aufsatz mit dem Titel Is the 2007 Sub-Prime Financial Crisis so Different? (hier die zweite Draft-Version) beschäftigt sich mit der aktuellen Situation.
Der zweite Aufsatz des Teams nimmt erstmals die Ergebnisse der o. g. Datenbank unter die Lupe. Der Titel: This Time is Different: A Panoramic View of Eight Centuries of Financial Crises
122 Seiten sind nicht die Osterbeschäftigung die einem zufliegt, aber der Rückblick ist den Schweiß der Edlen wert und muss ja nicht in einer Sitzung konsumiert werden.

Fröhliche Ostern allerseits!

Words from the wise for the week that was (Jan 14 – 20, 2008)

Angefangen von Ben Bernankes Auftritt letzten Donnerstag vor dem Haushaltsausschuss des Repräsentantenhauses startet Prieur du Plessis von Investment Postcards from Cape Town seinen Wochenüberblick über namhafte Einschätzungen zur US-Konjunktur und den Finanzmärkten – definitiv ein MUST READ, ein Wirtschaftsblog der absoluten Extraklasse!

Words from the wise for the week that was (Jan 14 – 20, 2008)