"It's not our fault," the cry goes up as hedge funds start reporting their losses. Chief among them David Viniar, CFO of Goldman Sachs, who says “We were seeing things that were 25-standard deviation moves, several days in a row".
No, you weren't. You were seeing things that your model told you were 25 standard deviations away from the norm. And then, the next day, it told you that you were seeing them again....From Risk: Over the Counter
