Como não podia deixar de ser, tenho passado os últimos dias a ler e a observar os sinais que a nossa classe política vai emitindo. E confesso que ando inquieto com uma certa complacência que sinto no ar, desde que, finalmente, se pediu a ajuda externa. Ora, este pedido foi importante, mas, até agora, foi apenas retórica, porque o pacote de ajuda financeira não está ainda negociado, muito menos concretizado. O tempo vai passando e, enfim, nada; todos os intervenientes (Presidente da República, Governo e Oposição) me parecem demasiado tranquilos e sem o sentido de urgência que eu, pessoalmente, lhes gostaria de ver. É simples: se, muito em breve, não houver dinheiro, por mais absurdo que possa parecer, o País pode mesmo parar. Literalmente, parar! Por isso, vou citar a newsletter do meu amigo Niels Jensen que, este mês, nos fala de tail risk.
"Contrary to common belief, the disaster at the Fukushima Daiichi nuclear power plant was not a direct result of the 9.0 earthquake which hit Northeastern Japan on 11 March. In fact, all 16 reactors in the earthquake zone, including the six at the Fukushima plant, shut down within two minutes of the quake, as they were designed to do. But Fukushima is a relatively old nuclear facility – also known as second generation - which requires continuous power supply to provide cooling (the newer third generation reactors are designed with a self-cooling system which doesn’t require uninterrupted power).
When the quake devastated the area around Fukushima, and the primary power supply was cut off, the diesel generators took over as planned, and the cooling continued. But then came the tsunami. Around the Fukushima plant was a protection wall designed to withstand a 5.2 metre tsunami, as the area is prone to tsunamis. However, this particular one was the mother of all tsunamis. When a 14 metre high wall of water, mud and debris hit the nuclear facility, the diesel generators were wiped out as well. But the story doesn’t end there, because Fukushima had a second line of defence – batteries which could keep the cooling running for another nine hours, supposedly enough to re-establish the power lines to the facility. However, the devastation around the area was so immense that the nine hours proved hopelessly inadequate. The rest is history, as they say.
I have included this sad tale in order to put the concept of risk into perspective. You cannot quantify a risk factor such as this one because, if you try to do so, the prevailing models will tell you that this should never happen. Take the October 1987 crash on NYSE. It was supposedly a 21.6 standard deviation (SD) event. 21.6 SD events happen once every 44*10^99 years according to the mathematicians amongst my friends (10^96 is called sexdecillion, but I am not even sure if there is a name for 10^99). The universe is ‘only’ about 13.7*10^9 years old (that is 13.7 billion years). Put differently, 19 October 1987 should quite simply never have happened. But it did. So did the Asian currency crisis which resulted in massive losses in October 1997, which statistically should only have happened once every 3 billion years or so. By comparison, our planet is ‘only’ about 2 billion years old. And the LTCM which created mayhem in August 1998 was apparently a once every 10 sextillion years (10^21) event. And I could go on and on. The models we use to quantify risk are hopelessly inadequate to deal with tail risk for the simple reason that stock market returns do not follow the pattern assumed by the models (a normal distribution).
The smart guys at Welton Investment Corporation have studied the phenomenon of tail risk in depth and kindly allowed me to re-produce the table below which sums up the challenge facing investors. In short, severe losses (defined as 20% or more) happen about 5 times more frequently than estimated by the models we (well, most of us) use."
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