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The Risks of Financial Modeling: Var and the Economic Meltdown THE RISKS OF FINANCIAL MODELING: VAR AND THE ECONOMIC MELTDOWN HEARING BEFORE THE SUBCOMMITTEE ON INVESTIGATIONS AND OVERSIGHT COMMITTEE ON SCIENCE AND TECHNOLOGY HOUSE OF REPRESENTATIVES ONE HUNDRED ELEVENTH CONGRESS FIRST SESSION SEPTEMBER 10, 2009 Serial No. 111–48 Printed for the use of the Committee on Science and Technology ( Available via the World Wide Web: http://www.science.house.gov U.S. GOVERNMENT PRINTING OFFICE 51–925PDF WASHINGTON : 2010 For sale by the Superintendent of Documents, U.S. Government Printing Office Internet: bookstore.gpo.gov Phone: toll free (866) 512–1800; DC area (202) 512–1800 Fax: (202) 512–2104 Mail: Stop IDCC, Washington, DC 20402–0001 COMMITTEE ON SCIENCE AND TECHNOLOGY HON. BART GORDON, Tennessee, Chair JERRY F. COSTELLO, Illinois RALPH M. HALL, Texas EDDIE BERNICE JOHNSON, Texas F. JAMES SENSENBRENNER JR., LYNN C. WOOLSEY, California Wisconsin DAVID WU, Oregon LAMAR S. SMITH, Texas BRIAN BAIRD, Washington DANA ROHRABACHER, California BRAD MILLER, North Carolina ROSCOE G. BARTLETT, Maryland DANIEL LIPINSKI, Illinois VERNON J. EHLERS, Michigan GABRIELLE GIFFORDS, Arizona FRANK D. LUCAS, Oklahoma DONNA F. EDWARDS, Maryland JUDY BIGGERT, Illinois MARCIA L. FUDGE, Ohio W. TODD AKIN, Missouri BEN R. LUJA´ N, New Mexico RANDY NEUGEBAUER, Texas PAUL D. TONKO, New York BOB INGLIS, South Carolina PARKER GRIFFITH, Alabama MICHAEL T. MCCAUL, Texas STEVEN R. ROTHMAN, New Jersey MARIO DIAZ-BALART, Florida JIM MATHESON, Utah BRIAN P. BILBRAY, California LINCOLN DAVIS, Tennessee ADRIAN SMITH, Nebraska BEN CHANDLER, Kentucky PAUL C. BROUN, Georgia RUSS CARNAHAN, Missouri PETE OLSON, Texas BARON P. HILL, Indiana HARRY E. MITCHELL, Arizona CHARLES A. WILSON, Ohio KATHLEEN DAHLKEMPER, Pennsylvania ALAN GRAYSON, Florida SUZANNE M. KOSMAS, Florida GARY C. PETERS, Michigan VACANCY SUBCOMMITTEE ON INVESTIGATIONS AND OVERSIGHT HON. BRAD MILLER, North Carolina, Chair STEVEN R. ROTHMAN, New Jersey PAUL C. BROUN, Georgia LINCOLN DAVIS, Tennessee BRIAN P. BILBRAY, California CHARLES A. WILSON, Ohio VACANCY KATHY DAHLKEMPER, Pennsylvania ALAN GRAYSON, Florida BART GORDON, Tennessee RALPH M. HALL, Texas DAN PEARSON Subcommittee Staff Director EDITH HOLLEMAN Subcommittee Counsel JAMES PAUL Democratic Professional Staff Member DOUGLAS S. PASTERNAK Democratic Professional Staff Member KEN JACOBSON Democratic Professional Staff Member TOM HAMMOND Republican Professional Staff Member MOLLY O’ROURKE Research Assistant ALEX MATTHEWS Research Assistant (II) C O N T E N T S September 10, 2009 Page Witness List ............................................................................................................. 2 Hearing Charter ...................................................................................................... 3 Opening Statements Statement by Representative Brad Miller, Chairman, Subcommittee on Inves- tigations and Oversight, Committee on Science and Technology, U.S. House of Representatives ................................................................................................ 6 Written Statement ............................................................................................ 8 Statement by Representative Paul C. Broun, Ranking Minority Member, Sub- committee on Investigations and Oversight, Committee on Science and Technology, U.S. House of Representatives ....................................................... 9 Written Statement ............................................................................................ 10 Panel I: Dr. Nassim N. Taleb, Distinguished Professor of Risk Engineering, Poly- technic Institute of New York University; Principal, Universa Investments L.P. Oral Statement ................................................................................................. 11 Written Statement ............................................................................................ 13 Biography .......................................................................................................... 56 Dr. Richard Bookstaber, Financial Author Oral Statement ................................................................................................. 56 Written Statement ............................................................................................ 59 Biography .......................................................................................................... 67 Discussion Can Economic Events Be Predicted? .................................................................. 67 Regulation of Financial Products ........................................................................ 69 ‘Too Big to Fail’? ................................................................................................... 70 Wall Street’s Dependency on Government Bailouts .......................................... 72 The Risks of Different Tupes of Institutions ..................................................... 74 Incentive Structures for Trades .......................................................................... 75 Holding Wall Street Accountable for Bonuses ................................................... 78 Malpractice in Risk Management ....................................................................... 79 Clawback Provisions ............................................................................................ 80 Credit Default Swaps ........................................................................................... 81 Were the Bailouts and Stimulus Funds Necessary? ......................................... 82 Panel II: Dr. Gregg E. Berman, Head of Risk Business, RiskMetrics Group Oral Statement ................................................................................................. 84 Written Statement ............................................................................................ 86 Biography .......................................................................................................... 105 Mr. James G. Rickards, Senior Managing Director for Market Intelligence, Omnis, Inc., McLean, VA Oral Statement ................................................................................................. 106 Written Statement ............................................................................................ 108 Biography .......................................................................................................... 116 (III) IV Page Mr. Christopher Whalen, Managing Director, Institutional Risk Analytics Oral Statement ................................................................................................. 117 Written Statement ............................................................................................ 118 Biography .......................................................................................................... 124 Dr. David Colander, Christian A. Johnson Distinguished Professor of Econom- ics, Middlebury College Oral Statement ................................................................................................. 124 Written Statement ............................................................................................ 127 Biography .......................................................................................................... 141 Discussion Appropriate Uses of Financial Models ............................................................... 141 Proposals for Avoiding Recurrences of Financial Problems ............................. 144 Abuse of the VaR .................................................................................................. 145 Past Congressional Attempts to Regulate the Financial Industry .................. 145 Should a Government Agency Test Financial Products for Usefulness? ......... 146 Identifying Firms That Are ‘Too Big to Fail’ ..................................................... 148 Monitoring and Analyzing Hedge Fund Activity and Risk ............................... 149 THE RISKS OF FINANCIAL MODELING: VAR AND THE ECONOMIC MELTDOWN THURSDAY, SEPTEMBER 10, 2009 HOUSE OF REPRESENTATIVES, SUBCOMMITTEE ON INVESTIGATIONS AND OVERSIGHT, COMMITTEE ON SCIENCE AND TECHNOLOGY, Washington, DC. The Subcommittee met, pursuant to call, at 10:04 a.m., in Room 2318 of the Rayburn House Office Building, Hon. Brad Miller [Chairman of the Subcommittee] presiding. (1) 2 3 HEARING CHARTER SUBCOMMITTEE ON INVESTIGATIONS AND OVERSIGHT COMMITTEE ON SCIENCE AND TECHNOLOGY U.S. HOUSE OF REPRESENTATIVES The Risks of Financial Modeling: VaR and the Economic Meltdown THURSDAY, SEPTEMBER 10, 2009 10:00 A.M.–1:00 P.M. 2318 RAYBURN HOUSE OFFICE BUILDING Purpose The Subcommittee on Investigations and Oversight on Sept. 10, 2009 convenes the first Congressional hearing to examine the role of risk modeling in the global financial meltdown. Risk models, and specifically a method of risk measurement known as Value-at-Risk, or VaR, are widely viewed as an important factor in the extreme risk-taking that financial institutions engaged in leading to last year’s eco- nomic upheaval. That risk-taking has led to hundreds of billions of dollars in losses to financial firms, and to a global recession with trillions of dollars in direct and indirect costs imposed on U.S. taxpayers and working families. Given the central role of credit in the economy, the ability of major financial insti- tutions to operate without assuming undue risks that gamble with the stability of the financial system, thereby endangering
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