Cuantificacion de Riesgos Estrategicos

74
CUANTIFICACION DE RIESGOS ESTRATEGICOS Lic. Fernando Hernández, MBA Consultor /instructor Senior Palisade Corporation [email protected]

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Administracion e Riesgos

Transcript of Cuantificacion de Riesgos Estrategicos

  • CUANTIFICACION DE RIESGOS ESTRATEGICOSLic. Fernando Hernndez, MBAConsultor /instructor SeniorPalisade [email protected]

  • Esquema de presentacinCuantificacin de los eventos estratgicos

    Presentacin 1: Cisnes negros y otros eventos difciles de pronosticarPresentacin 2: Redes y su impacto en distribuciones de probabilidad

  • Casos y ejemplos prcticosCaso 1: Derramamientos de petrleoCaso 2: Cuantificacin de riesgos de eventoCaso 3: Cuantificacin de riesgos estratgicos

    Conclusiones, preguntas y respuestas

  • Presentacin 1: Cisnes negros y otros eventos difciles de pronosticarEn esta seccin se discute el problema que N.N. Taleb ha denominado del cisne negro, los eventos que por su naturaleza extrema, de poca frecuencia y de explicabilidad revertida se encuentran fuera del dominio de las estadsticas

  • Nassim Nicholas Taleb escribeThe Black Swam discute la poca capacidad que tenemos los seres humanos para predecir los grandes acontecimientos cuyos impactos cambiarn el futuro, y de nuestra obsesin por la modelizacin de la realidad.http://www.edge.org/3rd_culture/taleb08/taleb08_index.html

  • En el 2006, escribeLa institucin respaldada por el gobierno Fannie Mae, cuando veo sus riesgos, parece estar sentada sobre un barril de dinamita, vulnerable al ms pequeo hipo. Pero no hay de qu preocuparse: su gran cantidad de cientficos consideraban estos eventos como poco probables.

  • En el 2010 escribe:El conocimiento estadstico y las probabilidades aplicadas es el ncleo del conocimiento; las estadsticas es lo que dicen si algo es verdadero, falso o meramente anecdtico; es la lgica de la ciencia, es el instrumento para la toma de riesgos; es las herramientas aplicadas de la epistemologa; usted no puede ser un intelectual contemporneo y no pensar probabilsticamente pero, no seamos tontos. El problema es mucho ms complicado de lo que pareciera para el usuario mecanicista casual que la aprendi en el post-grado. Las estadsticas pueden engaarte. De hecho, estn engaando al gobierno en este momento. Pueden inclusive llevar a la quiebra al sistema. Enfrentmoslo: el uso de los mtodos probabilsticos para la estimacin de los riesgos recin acaban de hacer quebrar todo el sistema bancario).

  • El cisne negroDefinicin: Una expresin latina ya utilizada por Juvenal y popularizada en el s. XVI en Londres.Este fenmeno describe la imposibilidad. Todos los cisnes deben ser blancos porque los registros histricos de cisnes reportan que son blancos.Sin embargo, en 1697 se descubrieron los cisnes negros en Australia.Entonces, el termin se transform para connotar que una imposibilidad percibida podra posteriormente ocurrir.

  • Qu define a un cisne negroRareza: Yace fuera del dominio de las expectativas regularesImpacto extremoPredictibilidad retrospectiva: (no prospectiva) La naturaleza humana nos hace desarrollar explicaciones a posteriori hacindolo explicable y predecible

  • AdicionalmenteActuamos como que si no existiera.Los cientficos sociales han operado bajo la falsa creencia que sus herramientas pueden medir la incertidumbre a los problemas reales ha tenido efectos ridculos.El gran fraude intelectual: la distribucin normalVase las siguientes cifras del DJIA

    Chart1

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    10014.35

    9822.84

    Dow Jones Industrial Average, 1950-2010.

    Datos

    #Rank DJIAMESDJIAVar DJIAMediaAcumDSAcumP(Var)Frec(aos)

    1Jan-50193.94

    2165Feb-50200.593.37%3.37%

    3410Mar-50201.140.27%1.82%2.19%23.98%0.35

    4238Apr-50205.932.35%2.00%1.58%58.87%0.14

    5147May-50214.063.87%2.47%1.59%81.10%0.10

    6640Jun-50206.03-3.82%1.21%3.13%5.41%1.54

    7673Jul-50195.40-5.30%0.12%3.86%8.01%1.04

    830Aug-50209.556.99%1.11%4.38%91.06%0.09

    9159Sep-50217.123.55%1.41%4.14%69.70%0.12

    10190Oct-50223.592.94%1.58%3.91%63.56%0.13

    11532Nov-50220.59-1.35%1.29%3.80%24.38%0.34

    12407Dec-50221.310.33%1.20%3.62%40.45%0.21

    1351Jan-51234.935.97%1.60%3.71%88.06%0.09

    1481Feb-51247.045.03%1.86%3.68%80.51%0.10

    15570Mar-51242.06-2.04%1.58%3.69%16.31%0.51

    16328Apr-51244.981.20%1.56%3.55%45.98%0.18

    17525May-51241.89-1.27%1.38%3.51%22.48%0.37

    18477Jun-51240.72-0.48%1.27%3.42%30.40%0.27

    19426Jul-51241.060.14%1.21%3.33%37.44%0.22

    2040Aug-51256.816.33%1.48%3.44%92.05%0.09

    21101Sep-51269.084.67%1.64%3.43%81.16%0.10

    22667Oct-51256.39-4.83%1.33%3.63%4.47%1.86

    23482Nov-51254.91-0.58%1.24%3.56%30.46%0.27

    24210Dec-51261.732.64%1.30%3.49%64.90%0.13

    25284Jan-52266.341.75%1.32%3.42%54.94%0.15

    26624Feb-52257.44-3.40%1.13%3.48%9.62%0.87

    27378Mar-52258.950.58%1.11%3.41%43.85%0.19

    28497Apr-52257.04-0.74%1.04%3.36%29.78%0.28

    29508May-52254.70-0.91%0.97%3.32%28.47%0.29

    30232Jun-52260.832.38%1.02%3.27%66.09%0.13

    31131Jul-52271.734.09%1.12%3.26%81.88%0.10

    32421Aug-52272.280.20%1.09%3.21%39.05%0.21

    33561Sep-52267.08-1.93%1.00%3.20%18.03%0.46

    34558Oct-52262.01-1.92%0.91%3.19%18.79%0.44

    35219Nov-52268.792.55%0.96%3.16%69.33%0.12

    36114Dec-52280.684.33%1.06%3.16%84.96%0.10

    37321Jan-53284.291.28%1.06%3.12%52.76%0.16

    38542Feb-53279.72-1.62%0.99%3.10%20.02%0.42

    39501Mar-53277.57-0.77%0.94%3.08%28.85%0.29

    40612Apr-53269.25-3.04%0.84%3.10%10.52%0.79

    41383May-53270.650.52%0.83%3.06%45.91%0.18

    42637Jun-53260.75-3.73%0.72%3.11%7.60%1.10

    43237Jul-53266.962.35%0.76%3.08%69.76%0.12

    44590Aug-53260.83-2.32%0.69%3.08%16.38%0.51

    45593Sep-53254.36-2.51%0.62%3.08%15.49%0.54

    46176Oct-53262.453.13%0.67%3.07%78.86%0.11

    47143Nov-53273.013.94%0.74%3.07%85.14%0.10

    48336Dec-53275.911.06%0.75%3.04%54.02%0.15

    49335Jan-54278.911.08%0.76%3.01%54.30%0.15

    50186Feb-54287.372.99%0.80%2.99%76.75%0.11

    51236Mar-54294.232.36%0.83%2.97%69.63%0.12

    52222Apr-54301.702.51%0.87%2.95%71.11%0.12

    5394May-54316.454.77%0.94%2.97%90.16%0.09

    54456Jun-54315.66-0.25%0.92%2.95%34.57%0.24

    55102Jul-54330.684.65%0.99%2.96%89.18%0.09

    56362Aug-54333.210.76%0.98%2.93%46.99%0.18

    57381Sep-54334.970.53%0.98%2.91%43.86%0.19

    58105Oct-54350.724.59%1.04%2.92%88.82%0.09

    59450Nov-54350.16-0.16%1.02%2.90%34.22%0.24

    6019Dec-54381.818.65%1.15%3.04%99.32%0.08

    61343Jan-55385.651.00%1.15%3.02%48.08%0.17

    62109Feb-55403.514.53%1.20%3.02%86.45%0.10

    63649Mar-55387.50-4.05%1.12%3.07%4.62%1.80

    6466Apr-55409.785.59%1.19%3.10%92.25%0.09

    65369May-55412.600.69%1.18%3.07%43.62%0.19

    66235Jun-55422.482.37%1.20%3.05%64.91%0.13

    6745Jul-55449.506.20%1.27%3.09%94.45%0.09

    68506Aug-55445.67-0.86%1.24%3.08%24.78%0.34

    69415Sep-55446.740.24%1.23%3.06%37.34%0.22

    70613Oct-55433.19-3.08%1.16%3.08%8.40%0.99

    71118Nov-55452.124.28%1.21%3.08%84.05%0.10

    7260Dec-55478.325.63%1.27%3.10%92.02%0.09

    73657Jan-56458.21-4.30%1.19%3.15%4.06%2.05

    74325Feb-56463.891.23%1.19%3.13%50.48%0.17

    75129Mar-56483.634.17%1.23%3.12%82.60%0.10

    76161Apr-56500.993.53%1.27%3.11%76.61%0.11

    77693May-56463.85-7.70%1.15%3.26%0.33%25.10

    78351Jun-56467.990.89%1.14%3.24%46.86%0.18

    79122Jul-56488.364.26%1.18%3.24%82.90%0.10

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    359475Nov-79792.24-0.47%0.39%3.86%41.13%0.20

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    361494Jan-80809.04-0.70%0.40%3.85%38.75%0.22

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    363715Mar-80729.95-14.90%0.37%3.93%0.01%1,632.03

    364194Apr-80751.372.89%0.37%3.93%73.94%0.11

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    367216Jul-80862.632.58%0.41%3.93%70.93%0.12

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    371310Nov-80924.491.40%0.42%3.92%59.88%0.14

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    382266Oct-81823.631.98%0.38%3.93%65.83%0.13

    383318Nov-81834.571.32%0.38%3.93%59.44%0.14

    384167Dec-81862.823.33%0.39%3.92%77.31%0.11

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    386634Feb-82802.23-3.71%0.37%3.92%14.92%0.56

    387568Mar-82786.15-2.02%0.36%3.92%27.13%0.31

    388119Apr-82820.494.28%0.37%3.92%84.02%0.10

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    3933Sep-82888.7014.34%0.39%3.97%99.98%0.08

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    39511Nov-82983.729.79%0.41%3.99%99.06%0.08

    396442Dec-82983.35-0.04%0.41%3.98%45.51%0.18

    397182Jan-831,013.433.01%0.42%3.98%74.29%0.11

    398171Feb-831,046.823.24%0.42%3.98%76.07%0.11

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    400457Apr-831,102.17-0.26%0.44%3.97%43.03%0.19

    40139May-831,174.256.33%0.45%3.98%93.04%0.09

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    405148Sep-831,197.363.85%0.45%3.97%80.43%0.10

    406306Oct-831,214.631.43%0.45%3.96%59.76%0.14

    407478Nov-831,208.74-0.49%0.45%3.96%40.64%0.21

    408275Dec-831,231.201.84%0.45%3.95%63.72%0.13

    409552Jan-841,209.59-1.77%0.45%3.95%28.71%0.29

    410694Feb-841,114.95-8.15%0.43%3.97%1.53%5.43

    411304Mar-841,131.701.49%0.43%3.96%60.55%0.14

    412527Apr-841,117.25-1.29%0.43%3.96%33.28%0.25

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    41734Sep-841,189.826.50%0.44%3.95%93.75%0.09

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    419271Nov-841,180.761.93%0.43%3.95%64.74%0.13

    420581Dec-841,154.70-2.23%0.43%3.94%25.02%0.33

    421257Jan-851,178.672.05%0.43%3.94%66.00%0.13

    42231Feb-851,263.916.98%0.45%3.95%95.11%0.09

    423545Mar-851,242.82-1.68%0.44%3.95%29.53%0.28

    424416Apr-851,245.800.24%0.44%3.94%47.97%0.17

    425504May-851,235.53-0.83%0.44%3.94%37.40%0.22

    426142Jun-851,285.393.96%0.45%3.94%81.38%0.10

    427253Jul-851,313.402.16%0.45%3.93%66.79%0.12

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    430228Oct-851,315.192.42%0.45%3.92%69.29%0.12

    431145Nov-851,367.783.92%0.45%3.92%81.17%0.10

    43253Dec-851,450.345.86%0.47%3.92%91.54%0.09

    433198Jan-861,491.742.81%0.47%3.92%72.49%0.11

    43496Feb-861,564.334.75%0.48%3.92%86.18%0.10

    43547Mar-861,663.076.12%0.50%3.93%92.40%0.09

    436191Apr-861,712.522.93%0.50%3.92%73.21%0.11

    437268May-861,746.531.97%0.50%3.92%64.54%0.13

    438146Jun-861,816.073.90%0.51%3.92%80.67%0.10

    439654Jul-861,741.56-4.19%0.50%3.92%11.58%0.72

    440485Aug-861,730.60-0.63%0.50%3.92%38.65%0.22

    441427Sep-861,732.990.14%0.50%3.91%46.34%0.18

    442296Oct-861,761.251.62%0.50%3.91%61.25%0.14

    443260Nov-861,797.102.02%0.50%3.90%65.06%0.13

    444107Dec-861,880.484.54%0.51%3.90%84.85%0.10

    445350Jan-871,897.360.89%0.51%3.90%53.88%0.15

    4467Feb-872,134.4211.77%0.54%3.93%99.79%0.08

    447162Mar-872,209.083.44%0.55%3.93%76.91%0.11

    448529Apr-872,180.54-1.30%0.54%3.93%31.95%0.26

    449403May-872,188.530.37%0.54%3.92%48.22%0.17

    450172Jun-872,260.623.24%0.55%3.92%75.40%0.11

    45162Jul-872,391.265.62%0.56%3.92%90.14%0.09

    45270Aug-872,525.995.48%0.57%3.93%89.46%0.09

    453585Sep-872,468.99-2.28%0.56%3.92%23.42%0.36

    454721Oct-871,616.21-42.37%0.47%4.41%0.00%664,838,609,343,350,200,000.00

    45510Nov-871,795.2610.51%0.49%4.43%98.81%0.08

    456626Dec-871,733.92-3.48%0.48%4.43%18.57%0.45

    45743Jan-881,845.996.26%0.49%4.43%90.35%0.09

    458287Feb-881,878.151.73%0.50%4.43%60.95%0.14

    459149Mar-881,951.263.82%0.50%4.42%77.31%0.11

    460353Apr-881,968.000.85%0.50%4.42%53.15%0.16

    461592May-881,921.58-2.39%0.50%4.42%25.68%0.32

    46280Jun-882,021.345.06%0.51%4.42%84.87%0.10

    463322Jul-882,047.301.28%0.51%4.41%56.89%0.15

    464625Aug-881,978.66-3.41%0.50%4.41%18.76%0.44

    465389Sep-881,988.440.49%0.50%4.41%49.92%0.17

    466104Oct-882,082.334.61%0.51%4.41%82.42%0.10

    467602Nov-882,026.67-2.71%0.50%4.40%23.28%0.36

    468233Dec-882,075.392.38%0.51%4.40%66.44%0.13

    469225Jan-892,127.142.46%0.51%4.40%67.14%0.12

    47092Feb-892,232.144.82%0.52%4.40%83.59%0.10

    471431Mar-892,234.460.10%0.52%4.39%46.22%0.18

    472255Apr-892,282.072.11%0.52%4.39%64.11%0.13

    473174May-892,356.303.20%0.53%4.38%72.89%0.11

    474234Jun-892,412.942.38%0.53%4.38%66.30%0.13

    475361Jul-892,431.530.77%0.53%4.38%52.13%0.16

    47624Aug-892,619.717.45%0.55%4.38%94.25%0.09

    477372Sep-892,636.780.65%0.55%4.38%50.92%0.16

    478676Oct-892,496.93-5.45%0.54%4.38%8.60%0.97

    479213Nov-892,563.112.62%0.54%4.38%68.23%0.12

    480156Dec-892,658.703.66%0.55%4.38%76.17%0.11

    481679Jan-902,513.06-5.63%0.53%4.38%7.96%1.05

    482334Feb-902,540.991.11%0.53%4.38%55.19%0.15

    483214Mar-902,607.882.60%0.54%4.37%68.12%0.12

    484363Apr-902,627.700.76%0.54%4.37%51.99%0.16

    485349May-902,651.350.90%0.54%4.36%53.25%0.16

    48644Jun-902,821.536.22%0.55%4.37%90.29%0.09

    487395Jul-902,833.170.41%0.55%4.36%48.72%0.17

    488712Aug-902,459.41-14.15%0.52%4.41%0.04%190.24

    489639Sep-902,367.82-3.80%0.51%4.41%16.42%0.51

    490510Oct-902,344.31-1.00%0.51%4.40%36.61%0.23

    491183Nov-902,415.593.00%0.51%4.40%71.35%0.12

    49293Dec-902,534.654.81%0.52%4.40%83.50%0.10

    493627Jan-912,447.03-3.52%0.52%4.40%17.97%0.46

    49413Feb-912,694.319.63%0.53%4.41%98.03%0.09

    49587Mar-912,829.214.89%0.54%4.41%83.74%0.10

    496370Apr-912,848.510.68%0.54%4.41%51.24%0.16

    497479May-912,834.53-0.49%0.54%4.41%40.73%0.20

    498300Jun-912,879.251.57%0.54%4.40%59.19%0.14

    499374Jul-912,897.360.63%0.54%4.40%50.76%0.16

    500573Aug-912,836.31-2.13%0.54%4.39%27.19%0.31

    501111Sep-912,963.104.37%0.55%4.39%80.82%0.10

    502526Oct-912,925.54-1.28%0.54%4.39%33.94%0.25

    503580Nov-912,861.14-2.23%0.54%4.39%26.45%0.32

    504512Dec-912,832.29-1.01%0.53%4.38%36.21%0.23

    50512Jan-923,119.869.67%0.55%4.40%98.09%0.08

    506240Feb-923,193.422.33%0.55%4.39%65.69%0.13

    507481Mar-923,176.21-0.54%0.55%4.39%40.17%0.21

    508518Apr-923,141.77-1.09%0.55%4.39%35.43%0.24

    50971May-923,316.645.42%0.56%4.39%86.59%0.10

    510583Jun-923,242.32-2.27%0.55%4.38%26.01%0.32

    511397Jul-923,255.430.40%0.55%4.38%48.64%0.17

    512547Aug-923,200.86-1.69%0.55%4.38%30.45%0.27

    513357Sep-923,226.550.80%0.55%4.37%52.28%0.16

    514661Oct-923,087.41-4.41%0.54%4.37%12.90%0.65

    515195Nov-923,176.842.86%0.54%4.37%70.15%0.12

    516292Dec-923,229.791.65%0.55%4.37%60.00%0.14

    517461Jan-933,219.25-0.33%0.54%4.36%42.09%0.20

    518316Feb-933,262.481.33%0.55%4.36%57.17%0.15

    519252Mar-933,334.072.17%0.55%4.36%64.52%0.13

    520428Apr-933,338.390.13%0.55%4.35%46.17%0.18

    521273May-933,402.421.90%0.55%4.35%62.18%0.13

    522323Jun-933,445.771.27%0.55%4.34%56.53%0.15

    523447Jul-933,443.28-0.07%0.55%4.34%44.29%0.19

    524243Aug-933,523.542.30%0.55%4.34%65.67%0.13

    525484Sep-933,501.47-0.63%0.55%4.33%39.26%0.21

    526331Oct-933,541.711.14%0.55%4.33%55.42%0.15

    527324Nov-933,585.861.24%0.55%4.32%56.29%0.15

    528230Dec-933,673.332.41%0.56%4.32%66.59%0.13

    529333Jan-943,715.241.13%0.56%4.32%55.30%0.15

    530218Feb-943,811.762.56%0.56%4.31%67.87%0.12

    531688Mar-943,544.12-7.28%0.55%4.32%3.51%2.38

    532487Apr-943,520.80-0.66%0.55%4.32%39.00%0.21

    533223May-943,609.712.49%0.55%4.32%67.38%0.12

    534451Jun-943,603.92-0.16%0.55%4.31%43.47%0.19

    535423Jul-943,611.040.20%0.55%4.31%46.76%0.18

    536180Aug-943,722.413.04%0.55%4.31%71.81%0.12

    537251Sep-943,804.502.18%0.56%4.30%64.73%0.13

    538554Oct-943,736.20-1.81%0.55%4.30%29.13%0.29

    539623Nov-943,612.05-3.38%0.54%4.30%18.07%0.46

    540364Dec-943,638.970.74%0.54%4.29%51.84%0.16

    541127Jan-953,794.404.18%0.55%4.29%80.12%0.10

    542399Feb-953,809.210.39%0.55%4.29%48.50%0.17

    543170Mar-953,935.313.26%0.56%4.29%73.57%0.11

    54491Apr-954,129.684.82%0.56%4.29%83.97%0.10

    545160May-954,278.733.55%0.57%4.28%75.64%0.11

    546208Jun-954,394.592.67%0.57%4.28%68.80%0.12

    547179Jul-954,530.263.04%0.58%4.28%71.76%0.12

    548388Aug-954,552.800.50%0.58%4.28%49.25%0.17

    549348Sep-954,594.710.92%0.58%4.27%53.16%0.16

    550347Oct-954,638.430.95%0.58%4.27%53.44%0.16

    551286Nov-954,719.721.74%0.58%4.26%60.69%0.14

    55248Dec-955,016.686.10%0.59%4.27%90.18%0.09

    553463Jan-965,000.07-0.33%0.59%4.26%41.45%0.20

    55446Feb-965,319.436.19%0.60%4.27%90.51%0.09

    555309Mar-965,395.301.42%0.60%4.26%57.59%0.14

    556455Apr-965,382.66-0.23%0.60%4.26%42.24%0.20

    557514May-965,327.74-1.03%0.60%4.25%35.16%0.24

    558121Jun-965,559.694.26%0.60%4.25%80.52%0.10

    559687Jul-965,170.11-7.26%0.59%4.26%3.27%2.55

    56041Aug-965,507.836.33%0.60%4.27%91.04%0.09

    561360Sep-965,550.370.77%0.60%4.26%51.59%0.16

    56283Oct-965,833.724.98%0.61%4.26%84.75%0.10

    563231Nov-965,975.342.40%0.61%4.26%66.27%0.13

    564150Dec-966,206.833.80%0.62%4.26%77.28%0.11

    565280Jan-976,318.961.79%0.62%4.25%60.86%0.14

    56663Feb-976,683.405.61%0.63%4.26%87.91%0.09

    567586Mar-976,532.49-2.28%0.62%4.25%24.73%0.34

    568622Apr-976,315.84-3.37%0.61%4.25%17.43%0.48

    56918May-976,891.398.72%0.63%4.26%97.12%0.09

    570106Jun-977,214.294.58%0.64%4.26%82.26%0.10

    57173Jul-977,613.535.39%0.64%4.26%86.70%0.10

    572470Aug-977,580.85-0.43%0.64%4.26%40.06%0.21

    573460Sep-977,556.23-0.33%0.64%4.26%41.03%0.20

    574702Oct-976,936.45-8.56%0.62%4.27%1.58%5.29

    57567Nov-977,334.775.58%0.63%4.27%87.68%0.10

    576178Dec-977,563.233.07%0.64%4.27%71.54%0.12

    577587Jan-987,391.59-2.30%0.63%4.27%24.63%0.34

    57822Feb-987,987.467.75%0.64%4.27%95.19%0.09

    57995Mar-988,377.324.77%0.65%4.27%83.22%0.10

    580141Apr-988,715.613.96%0.66%4.27%78.02%0.11

    581382May-988,760.950.52%0.66%4.27%48.71%0.17

    582603Jun-988,524.55-2.74%0.65%4.27%21.37%0.39

    583181Jul-988,786.483.03%0.66%4.26%71.09%0.12

    584716Aug-987,517.70-15.60%0.63%4.31%0.01%985.83

    585555Sep-987,379.70-1.85%0.62%4.31%28.29%0.29

    586411Oct-987,399.780.27%0.62%4.31%46.75%0.18

    5871Nov-988,573.5614.72%0.65%4.34%99.94%0.08

    588394Dec-988,610.630.43%0.65%4.34%48.03%0.17

    589112Jan-998,994.264.36%0.65%4.34%80.36%0.10

    590405Feb-999,025.410.35%0.65%4.33%47.18%0.18

    591302Mar-999,163.411.52%0.65%4.33%57.91%0.14

    59256Apr-999,707.915.77%0.66%4.33%88.09%0.09

    59332May-9910,372.966.63%0.67%4.34%91.52%0.09

    594617Jun-9910,042.00-3.24%0.67%4.33%18.36%0.45

    59574Jul-9910,594.995.36%0.67%4.34%86.02%0.10

    596513Aug-9910,487.34-1.02%0.67%4.33%34.81%0.24

    597655Sep-9910,055.17-4.21%0.66%4.33%13.05%0.64

    598548Oct-999,884.20-1.71%0.66%4.33%29.18%0.29

    599291Nov-9910,049.421.66%0.66%4.33%59.12%0.14

    60026Dec-9910,798.077.19%0.67%4.33%93.37%0.09

    601550Jan-0010,610.43-1.75%0.67%4.33%28.81%0.29

    602698Feb-009,760.36-8.35%0.65%4.34%1.91%4.37

    603538Mar-009,611.75-1.53%0.65%4.34%30.75%0.27

    60477Apr-0010,128.625.24%0.66%4.34%85.45%0.10

    605406May-0010,163.200.34%0.66%4.34%47.11%0.18

    606440Jun-0010,161.51-0.02%0.65%4.33%43.85%0.19

    607312Jul-0010,303.281.39%0.66%4.33%56.70%0.15

    608326Aug-0010,428.581.21%0.66%4.32%55.08%0.15

    609432Sep-0010,439.310.10%0.66%4.32%44.91%0.19

    610703Oct-009,571.40-8.68%0.64%4.33%1.58%5.29

    61138Nov-0010,204.806.41%0.65%4.34%90.79%0.09

    612473Dec-0010,158.16-0.46%0.65%4.33%39.93%0.21

    613294Jan-0110,325.711.64%0.65%4.33%59.01%0.14

    614509Feb-0110,225.14-0.98%0.65%4.33%35.36%0.24

    615709Mar-019,047.56-12.24%0.63%4.36%0.16%52.99

    616201Apr-019,303.482.79%0.63%4.35%69.02%0.12

    6175May-0110,638.4813.41%0.65%4.38%99.82%0.08

    618615Jun-0110,313.40-3.10%0.64%4.38%19.60%0.43

    619596Jul-0110,049.38-2.59%0.64%4.38%23.01%0.36

    620577Aug-019,829.35-2.21%0.63%4.37%25.75%0.32

    621719Sep-017,926.93-21.51%0.60%4.46%0.00%232,222.10

    62216Oct-018,659.908.84%0.61%4.47%96.73%0.09

    623155Nov-018,987.613.71%0.62%4.47%75.60%0.11

    62428Dec-019,651.877.13%0.63%4.47%92.71%0.09

    625575Jan-029,443.32-2.18%0.62%4.47%26.50%0.31

    626373Feb-029,503.520.64%0.62%4.47%50.11%0.17

    62752Mar-0210,086.515.95%0.63%4.47%88.33%0.09

    628616Apr-029,767.15-3.22%0.63%4.47%19.48%0.43

    629453May-029,749.73-0.18%0.62%4.46%42.87%0.19

    630705Jun-028,831.92-9.89%0.61%4.48%0.96%8.71

    631717Jul-027,489.53-16.49%0.58%4.53%0.01%1,021.13

    63235Aug-027,991.436.49%0.59%4.53%90.35%0.09

    633690Sep-027,422.28-7.39%0.58%4.54%3.96%2.11

    634618Oct-027,181.47-3.30%0.57%4.54%19.69%0.42

    6354Nov-028,237.6513.72%0.59%4.56%99.80%0.08

    636458Dec-028,214.93-0.28%0.59%4.56%42.47%0.20

    637650Jan-037,884.66-4.10%0.58%4.56%15.20%0.55

    638630Feb-037,602.81-3.64%0.58%4.56%17.75%0.47

    639604Mar-037,397.31-2.74%0.57%4.56%23.37%0.36

    64027Apr-037,947.387.17%0.58%4.56%92.58%0.09

    64199May-038,328.554.68%0.59%4.56%81.55%0.10

    64255Jun-038,823.515.77%0.60%4.56%87.18%0.10

    643418Jul-038,843.610.23%0.60%4.56%46.79%0.18

    644314Aug-038,964.131.35%0.60%4.55%56.60%0.15

    645215Sep-039,199.432.59%0.60%4.55%66.92%0.12

    646354Oct-039,275.060.82%0.60%4.55%51.92%0.16

    647184Nov-039,556.682.99%0.60%4.55%70.03%0.12

    648246Dec-039,777.642.29%0.61%4.54%64.42%0.13

    64965Jan-0410,341.195.60%0.61%4.54%86.40%0.10

    650384Feb-0410,394.810.52%0.61%4.54%49.15%0.17

    651651Mar-049,975.86-4.11%0.61%4.54%14.92%0.56

    652250Apr-0410,198.392.21%0.61%4.54%63.76%0.13

    653638May-049,822.10-3.76%0.60%4.54%16.82%0.50

    654196Jun-0410,104.072.83%0.61%4.53%68.82%0.12

    655588Jul-049,874.38-2.30%0.60%4.53%26.11%0.32

    656530Aug-049,746.60-1.30%0.60%4.53%33.74%0.25

    657256Sep-049,950.712.07%0.60%4.53%62.75%0.13

    658607Oct-049,660.18-2.96%0.59%4.52%21.58%0.39

    659185Nov-049,953.292.99%0.60%4.52%70.15%0.12

    660117Dec-0410,389.814.29%0.60%4.52%79.27%0.11

    661493Jan-0510,317.10-0.70%0.60%4.52%38.64%0.22

    662308Feb-0510,464.381.42%0.60%4.51%57.16%0.15

    663517Mar-0510,351.76-1.08%0.60%4.51%35.46%0.24

    664642Apr-059,961.52-3.84%0.59%4.51%16.27%0.51

    665341May-0510,062.761.01%0.59%4.51%53.68%0.16

    666293Jun-0510,229.401.64%0.60%4.50%59.18%0.14

    667505Jul-0510,142.24-0.86%0.59%4.50%37.37%0.22

    668283Aug-0510,321.421.75%0.60%4.50%60.13%0.14

    669452Sep-0510,303.51-0.17%0.59%4.50%43.21%0.19

    670566Oct-0510,098.18-2.01%0.59%4.49%28.11%0.30

    671227Nov-0510,347.702.44%0.59%4.49%65.96%0.13

    672177Dec-0510,675.643.12%0.60%4.49%71.30%0.12

    673486Jan-0610,607.36-0.64%0.60%4.48%39.13%0.21

    674358Feb-0610,691.970.79%0.60%4.48%51.77%0.16

    675278Mar-0610,885.351.79%0.60%4.48%60.52%0.14

    676327Apr-0611,017.431.21%0.60%4.48%55.40%0.15

    677464May-0610,980.29-0.34%0.60%4.47%41.72%0.20

    678611Jun-0610,653.23-3.02%0.59%4.47%20.93%0.40

    679435Jul-0610,658.350.05%0.59%4.47%45.16%0.18

    680175Aug-0610,998.063.14%0.59%4.47%71.55%0.12

    681224Sep-0611,273.892.48%0.60%4.46%66.32%0.13

    682193Oct-0611,608.232.92%0.60%4.46%69.86%0.12

    683204Nov-0611,928.972.73%0.60%4.46%68.29%0.12

    684330Dec-0612,070.521.18%0.60%4.45%55.13%0.15

    685264Jan-0712,313.011.99%0.61%4.45%62.19%0.13

    686560Feb-0712,078.85-1.92%0.60%4.45%28.53%0.29

    687524Mar-0711,926.79-1.27%0.60%4.45%33.73%0.25

    688188Apr-0712,284.542.96%0.60%4.44%70.16%0.12

    68964May-0712,993.025.61%0.61%4.45%86.95%0.10

    690295Jun-0713,205.081.62%0.61%4.44%58.96%0.14

    691474Jul-0713,143.87-0.46%0.61%4.44%40.43%0.21

    692674Aug-0712,455.92-5.38%0.60%4.44%8.92%0.93

    693124Sep-0712,992.024.21%0.61%4.44%79.16%0.11

    694211Oct-0713,337.902.63%0.61%4.44%67.52%0.12

    695668Nov-0712,707.26-4.84%0.60%4.44%11.00%0.76

    696203Dec-0713,059.322.73%0.61%4.44%68.42%0.12

    697710Jan-0811,508.74-12.64%0.59%4.46%0.15%54.87

    698123Feb-0812,006.794.24%0.59%4.46%79.30%0.11

    699610Mar-0811,650.44-3.01%0.59%4.46%20.98%0.40

    700100Apr-0812,208.424.68%0.59%4.46%82.02%0.10

    701301May-0812,397.561.54%0.59%4.46%58.38%0.14

    702706Jun-0811,226.34-9.92%0.58%4.47%0.94%8.85

    703662Jul-0810,731.96-4.50%0.57%4.47%12.82%0.65

    704152Aug-0811,144.593.77%0.58%4.47%76.27%0.11

    705695Sep-0810,266.76-8.20%0.56%4.48%2.52%3.31

    706720Oct-087,773.71-27.82%0.52%4.60%0.00%226,028,644.16

    707669Nov-087,392.27-5.03%0.52%4.60%11.41%0.73

    70817Dec-088,072.478.80%0.53%4.61%96.36%0.09

    709601Jan-097,856.86-2.71%0.52%4.61%24.17%0.34

    710708Feb-096,952.06-12.23%0.50%4.63%0.30%28.05

    711692Mar-096,440.08-7.65%0.49%4.64%3.96%2.11

    7122Apr-097,450.7414.58%0.51%4.66%99.87%0.08

    71323May-098,047.547.71%0.52%4.67%93.80%0.09

    714241Jun-098,236.072.32%0.53%4.67%64.94%0.13

    715576Jul-098,057.57-2.19%0.52%4.66%28.04%0.30

    7166Aug-099,078.2811.93%0.54%4.68%99.25%0.08

    717298Sep-099,223.081.58%0.54%4.68%58.82%0.14

    718289Oct-099,378.771.67%0.54%4.67%59.58%0.14

    719197Nov-099,647.062.82%0.54%4.67%68.70%0.12

    72059Dec-0910,207.295.64%0.55%4.67%86.22%0.10

    721557Jan-1010,014.35-1.91%0.55%4.67%29.95%0.28

    722562Feb-109,822.84-1.93%0.54%4.67%29.79%0.28

    Graf1

    Graf1

    193.94

    200.59

    201.14

    205.93

    214.06

    206.03

    195.4

    209.55

    217.12

    223.59

    220.59

    221.31

    234.93

    247.04

    242.06

    244.98

    241.89

    240.72

    241.06

    256.81

    269.08

    256.39

    254.91

    261.73

    266.34

    257.44

    258.95

    257.04

    254.7

    260.83

    271.73

    272.28

    267.08

    262.01

    268.79

    280.68

    284.29

    279.72

    277.57

    269.25

    270.65

    260.75

    266.96

    260.83

    254.36

    262.45

    273.01

    275.91

    278.91

    287.37

    294.23

    301.7

    316.45

    315.66

    330.68

    333.21

    334.97

    350.72

    350.16

    381.81

    385.65

    403.51

    387.5

    409.78

    412.6

    422.48

    449.5

    445.67

    446.74

    433.19

    452.12

    478.32

    458.21

    463.89

    483.63

    500.99

    463.85

    467.99

    488.36

    492.19

    474.23

    463.83

    460.41

    474.26

    471.06

    453.07

    463.66

    473.09

    492.29

    492.87

    500.75

    469.03

    452.19

    416.15

    425.46

    423.86

    434.37

    434.04

    439.24

    437.25

    453.84

    462.7

    472.07

    499.82

    508.39

    527.68

    538.43

    553.7

    580.54

    571.73

    599.21

    599.65

    611.68

    613.11

    643.6

    639.34

    613.3

    624.55

    630.99

    658.48

    619.51

    603.34

    596.2

    598.35

    596.61

    620.61

    597.3

    600.28

    565.49

    564.23

    579.43

    589.82

    606.09

    632.81

    656.36

    671.64

    672.98

    673.49

    674.8

    702.21

    688.87

    693.12

    700.12

    714.6

    686.89

    696.07

    703.27

    661.48

    553.75

    524.55

    557.31

    582.12

    572.16

    549.65

    582.66

    636.88

    643.57

    661.27

    656.66

    680.55

    708.16

    702.42

    684.41

    691.23

    728.63

    732.49

    710.83

    746.78

    760.34

    777.99

    798.05

    807.18

    808.55

    796.9

    829.3

    820.78

    836.56

    861.42

    866.8

    850.19

    865.1

    877.48

    884.68

    886.84

    904.82

    832.74

    857.71

    874.78

    886.96

    923.23

    937.24

    924.44

    961.91

    946.1

    905.4

    921.77

    859.13

    858.9

    843.76

    759.52

    763.36

    735.74

    784.79

    779.34

    776.16

    827.95

    835.3

    838.98

    850.39

    836.92

    853.21

    887.83

    894.19

    876.21

    839.4

    868.76

    850.5

    826.46

    817.61

    849.23

    885.53

    891.48

    876.99

    863.33

    892.59

    932.93

    936.54

    936.66

    915.53

    895.39

    895.76

    908.81

    928.58

    862.46

    788.07

    800.62

    804.45

    793.95

    800.36

    764.45

    739.11

    738.78

    757.99

    716.74

    627.46

    674.9

    665.32

    702.83

    741.51

    746.71

    749.52

    787.45

    826.53

    861.99

    873.22

    897.48

    898.61

    866.31

    854.41

    834.92

    877.48

    827.83

    790.67

    831.12

    882.75

    894.34

    924.14

    933.62

    917.37

    917.75

    900.06

    922.03

    927.15

    917.07

    955.3

    996.09

    988.11

    938.82

    911.12

    907.51

    875.45

    864.46

    863.94

    845.5

    873.34

    937.69

    810.36

    783.56

    816.57

    795.68

    841.76

    818.68

    788.8

    796.46

    753.13

    651.6

    598.8

    573.22

    599.81

    570.01

    619.13

    695.24

    731.46

    736.62

    807.96

    811.23

    819.15

    785.75

    789.66

    780.54

    821.08

    812.81

    848.63

    946.16

    964.18

    963

    955.84

    951.7

    974.2

    954.12

    971.24

    928.27

    917.89

    942.24

    944.9

    926.03

    914.15

    909.74

    892.55

    896.46

    878.81

    844.42

    830.3

    792.79

    794.53

    800.42

    759.44

    739.17

    736.75

    747.05

    813.84

    807.95

    800.94

    855.34

    850.92

    782.05

    779.11

    781.01

    798.51

    802.23

    807.26

    847.28

    815.14

    817.74

    818

    839.08

    857.85

    795.99

    792.24

    814.76

    809.04

    847.27

    729.95

    751.37

    795.82

    840.7

    862.63

    918.52

    918

    911.6

    924.49

    894.45

    930.89

    923.89

    955.71

    981.81

    956.68

    972.69

    918.66

    879.09

    807.46

    823.63

    834.57

    862.82

    832.57

    802.23

    786.15

    820.49

    815.54

    784.25

    787.39

    769.98

    888.7

    892.02

    983.72

    983.35

    1013.43

    1046.82

    1105.07

    1102.17

    1174.25

    1176.78

    1179.79

    1152.14

    1197.36

    1214.63

    1208.74

    1231.2

    1209.59

    1114.95

    1131.7

    1117.25

    1083.19

    1079.39

    1078.95

    1114.95

    1189.82

    1158.24

    1180.76

    1154.7

    1178.67

    1263.91

    1242.82

    1245.8

    1235.53

    1285.39

    1313.4

    1303.65

    1283.71

    1315.19

    1367.78

    1450.34

    1491.74

    1564.33

    1663.07

    1712.52

    1746.53

    1816.07

    1741.56

    1730.6

    1732.99

    1761.25

    1797.1

    1880.48

    1897.36

    2134.42

    2209.08

    2180.54

    2188.53

    2260.62

    2391.26

    2525.99

    2468.99

    1616.21

    1795.26

    1733.92

    1845.99

    1878.15

    1951.26

    1968

    1921.58

    2021.34

    2047.3

    1978.66

    1988.44

    2082.33

    2026.67

    2075.39

    2127.14

    2232.14

    2234.46

    2282.07

    2356.3

    2412.94

    2431.53

    2619.71

    2636.78

    2496.93

    2563.11

    2658.7

    2513.06

    2540.99

    2607.88

    2627.7

    2651.35

    2821.53

    2833.17

    2459.41

    2367.82

    2344.31

    2415.59

    2534.65

    2447.03

    2694.31

    2829.21

    2848.51

    2834.53

    2879.25

    2897.36

    2836.31

    2963.1

    2925.54

    2861.14

    2832.29

    3119.86

    3193.42

    3176.21

    3141.77

    3316.64

    3242.32

    3255.43

    3200.86

    3226.55

    3087.41

    3176.84

    3229.79

    3219.25

    3262.48

    3334.07

    3338.39

    3402.42

    3445.77

    3443.28

    3523.54

    3501.47

    3541.71

    3585.86

    3673.33

    3715.24

    3811.76

    3544.12

    3520.8

    3609.71

    3603.92

    3611.04

    3722.41

    3804.5

    3736.2

    3612.05

    3638.97

    3794.4

    3809.21

    3935.31

    4129.68

    4278.73

    4394.59

    4530.26

    4552.8

    4594.71

    4638.43

    4719.72

    5016.68

    5000.07

    5319.43

    5395.3

    5382.66

    5327.74

    5559.69

    5170.11

    5507.83

    5550.37

    5833.72

    5975.34

    6206.83

    6318.96

    6683.4

    6532.49

    6315.84

    6891.39

    7214.29

    7613.53

    7580.85

    7556.23

    6936.45

    7334.77

    7563.23

    7391.59

    7987.46

    8377.32

    8715.61

    8760.95

    8524.55

    8786.48

    7517.7

    7379.7

    7399.78

    8573.56

    8610.63

    8994.26

    9025.41

    9163.41

    9707.91

    10372.96

    10042

    10594.99

    10487.34

    10055.17

    9884.2

    10049.42

    10798.07

    10610.43

    9760.36

    9611.75

    10128.62

    10163.2

    10161.51

    10303.28

    10428.58

    10439.31

    9571.4

    10204.8

    10158.16

    10325.71

    10225.14

    9047.56

    9303.48

    10638.48

    10313.4

    10049.38

    9829.35

    7926.93

    8659.9

    8987.61

    9651.87

    9443.32

    9503.52

    10086.51

    9767.15

    9749.73

    8831.92

    7489.53

    7991.43

    7422.28

    7181.47

    8237.65

    8214.93

    7884.66

    7602.81

    7397.31

    7947.38

    8328.55

    8823.51

    8843.61

    8964.13

    9199.43

    9275.06

    9556.68

    9777.64

    10341.19

    10394.81

    9975.86

    10198.39

    9822.1

    10104.07

    9874.38

    9746.6

    9950.71

    9660.18

    9953.29

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    Dow Jones Industrial Average, 1950-2010.

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    Variacin mensual del Dow Jones Industrial Average, 1950-2010.

  • Algunos cisnes negrosLos eventos que desembocaron en la 1 Guerra MundialEl ascenso de Hitler y la 2 Guerra MundialLa repentina cada del bloque soviticoEl ascenso del fundamentalismo islmicoLa dispersin de internetModas, epidemias, gneros artsticos, escuelasEl hundimiento del TitanicFacebook

  • Capitn E.J. Smith, 1907.Pero en toda mi experiencia, nunca he estado en un accidente de ninguna naturaleza que valga la pena mencionar. He visto slo un navo en problemas en todos mis aos en el mar. Nunca vi un naufragio y nunca he naufragado y nunca estuve en una situacin que amenzare acabar en algn tipo de desastre.

  • La metfora del pavo

  • Cualquier parecido al pavo es mera coincidencia

  • La curva de campana: El Gran Fraude IntelectualLa mayora de las observaciones oscilan alrededor de lo mediocre, el promedio.Una nica observacin no impactar el totalLas probabilidades de una desviacin disminuyen cada vez ms rpidamente (de manera exponencial) a medida que se aleja de la media.Es notable la aceleracin en la probabilidad de los eventos extremos

  • Distribucin de campanaEl enfoque es en lo ordinario y luego se lidia con las excepciones.Sirve en donde se pueda generalizar que el mayor elemento no est muy alejado del promedio.Si existe un efecto gravitatorio o si hay limitaciones fsicas

  • Distribucin de campanaSi hay grandes fuerzas equilibrantes que vuelvan las situaciones a equilibrio relativamente rpido despus que las condiciones diverjan del equilibrio.La desviacin estndar realmente slo tiene significado en distribuciones simtricas (Gaussianas)

  • Historia matemtica de la curva de campanaGauss trabaj en ella pero l era un matemtico terico.Abraham DeMoivre (1667-1754) la formul.Adolphe Quetlet (1678-1754) la populariz con el hombre medio (lhomme moyen). Poincar dud de ella

  • Las distribuciones mandelbrotianas

    Derivadas de los estudios del matemtico contemporneo descubridor de los fractales Benoit MandelbrotEjemplo de riqueza en EuropaLa velocidad del decrecimiento en la frecuencia se mantiene constante.Al doblar la cantidad de riqueza, la frecuencia se disminuye en 4 (independientemente del nivel). Es decir, es escalable o fractal.El enfoque inicia con la excepcin como punto de partida y lidia con lo ordinario como subordinado

  • Los expertosLa incapacidad para predecir cisnes negros implica la incapacidad para predecir el curso de la historia. (proyecciones a 30 aos plazo, proyecciones del precio del petrleo a 30 aos, etc.)Lo sorprendente no son los errores de pronstico sino ms bien nuestra ausencia de la conciencia respecto de los mismos.As, algunos profesionales que creen que son expertos, en realidad no lo son.Son mejores narrando los eventos, no predicindolos. An peor, lo hacen con modelos matemticos.Cuestionario de estimaciones

  • Los eventos futurosDebemos ajustarnos a su existencia, en vez de tratar, inocentemente, de predecirlos.Hay cisnes negros positivos (descubrimientos cientficos, capital de ventura) y negativos

  • Qu aprendi la gente con el 11 de septiembre?Que algunos eventos, dada su dinmica, se encuentran claramente fuera del dominio de lo predecible. NOEl defecto implicito de la sabiduria convencionalNO

  • Reglas especficas para evitar ataques terroristas en edificios altos y aviones.

  • La lnea de Maginot

  • Excesivo enfoque en lo que se conoce. Tendemos a aprender lo preciso, no lo general.El hroe olvidado de la prevencin. Que hubiese pasado si se hubiere aprobado una ley obligando a las lneas areas a tener puertas de seguridad en las cabinas de piloto de los aviones.

  • Formas alternativas para analizar fenmenos

    Descartar lo extraordinario, considerarlo como un evento extremo (outlier) y enfocarse en lo normal.Considerar que para comprender un fenmeno, deben considerarse primeramente los extremos.

  • Lo normal es usualmente irrelevanteCmo evaluar a un criminal en un da ordinarioCmo considerar la salud pblica sin epidemias o enfermades.

  • En el ambiente social, se estudian los eventos bajo la curva normal:Mtodo de inferencia de lo normalLa normal ignora las grandes desviacionesPero igual nos da confianza de que hemos domesticado la incertidumbreGFI: El gran fraude intelectual

  • Creemos contar con la verdad puesto que partimos de modelos cientfico-matemticos de validacin, pero no nos damos cuenta de que las premisas que aceptamos como vlidas no siempre lo son.

  • Dos mundos opuestosMediocristn

    Extremistn

  • Taleb separa la realidad en dos mundos contrapuestos:Mediocristn (el reino de las tendencias medias y las distribuciones normales)Extremistn (el reino de los sucesos extraordinarios y las distribuciones fractales).

  • Mediocristn o Extremistn?Es de vital importancia saber cuando nos movemos en un reino u otro para saber cuales son las herramientas o paradigmas que podemos aplicar en cada caso y adems hay que tener en cuenta que la mayora de las veces nos movemos por Extremistn, aunque pensamos lo contrario.

  • MediocristanExtremistanNo escalableEscalableAleatoriedad tipo 1 o suaveAleatoriedad tipo 2 radicalEl miembro ms tpico es mediocreEl ms "tpico" es gigante o enano; no hay miembros tpicosLos ganadores obtienen un pequeo segmento del totalEfectos en donde el ganador se lleva todoEjemplo: audiencia de un cantante de pera antes del gramfonoAudiencia actual de un artistaMs probable de encontrar en nuestro ambiente ancestralMs probable encontrar en nuestro ambiente contemporneoEl efecto del cisne negro no le afectaVulnerable al efecto del cisne negroSujeto a la gravedadNo hay restricciones fsicas a su magnitudGeneralmente corresponde a cantidades fsicasCorresponde a nmeros sociales (como por ejemplo, la riqueza)Cercano a la igualdad utpicaDominado por inequidades del tipo en que el ganador se lo lleva todoEl total no est determinado por una sola instancia u observacinEl total estar determinado por un pequeo nmero de eventos extremosAl observarlo un tiempo se es capaz de comprender el fenmenoToma mucho tiempo lograr comprender el fenmenoTirana del colectivoTirana de lo accidentalFcil de predecir desde lo que uno ver e implicar lo que no se veDifcil predecir con base en la informacin pasadaLa historia avanza apaso de gusanoLa historia brincaLos eventos se distribuyen de acuerdo a la distribucin "normal"La distribucin es Mandelbrtica (fractal)

  • Impredictibilidad de los sucesosYa que no podemos controlar los sucesos impredecibles, deberamos aceptar la incertidumbre e intentar maximizar nuestra exposicin a la casualidad de signo positivo, situndonos en el camino de las nuevas ideas y tendenciasEste camino prescriptivo es lo que Taleb seala en la saga del Cisne Negro: El Cuarto Cuadrante

  • Tipos de decisionesBinarias: (M0) Solo importa si algo es falso o verdadero.Algo es verdadero o falso con cierto grado de confianzaDepende del Momento Cero (slo la probabilidad del evento)

    Complejas: (M1)Importa tanto la frecuencia como el impacto, o alguna funcin del impacto.

  • El Cuarto Cuadrante del Mapa2413MediocristnExtremistnDecisionessimplesDecisionescomplejas

  • Cuadrante 1:Decisiones binarias simples en MediocristnSituaciones comunes en la academia, en los laboratorios y en los casinos (la falacia ldica)Tendemos a estudiarlos porque es muy fcil modelarlos1MediocristnDecisionessimples

  • Cuadrante 2:2ExtremistnDecisionessimplesDecisiones simples en ExtremistnUsualmente pocos fenmenos se sitan ac.

  • Cuadrante 3:3MediocristnDecisionescomplejasSe pueden usar muy bien algunos mtodos estadsticos de teora de valor extremoPicos sobre umbrales; mximos de bloque

  • Cuadrante 4:4ExtremistnDecisionescomplejasAc no llegan los dominios de la estadsticaEl dominio de los cisnes negros.No base sus decisiones basado en teoras estadsticas

  • DOMINIOAPLICACIONEventos por cuadrante

    DECISIONES SIMPLESDECISIONES COMPLEJASColas delgadas (Mediocristn)Extremedamente robustas a los cisnes negrosBien robustas a los cisnes negrosColas anchas o desconocidas, Escala desconocida(Extremistn)Bien robustas a los cisnes negrosLmites de la estadstica extremada fragilidad a los cisnes negros

  • Decisiones simples(Falso / verdadero)Decisiones complejas(Cunto?)Decisiones muy complejas(Realmente cunto)M0: Dependen de la probabilidadSeveridad lineal:Probabilidad x severidadSeveridad no lineal:Probabilidad x potenciaMedicinaSeguridad: Terrorismo, catstrofes naturalesInnovaciones, tecnologas convexasExperimentos psicolgicosProblemas ambientalesConsecuencias sociales de pandemiasApuestasClimaCalibracin de modelos no linealesDerivados binariosAdministracin general de riesgosErrores en anlisis de las desviacionesVida/muerte de una personaEpidemias (vida/muerte) de muchas personasPortafolios apalancadosBancarrota (para una empresa)Seguros, medicin de cobertura esperadaPortafolios dinmicos de coberturaUn seguro (limitado)Seguros, portafolios grandes abiertos de catstrofesPosicionamiento basado en la curtosisAlgo ms? No muchoFinanzas (inversiones)Opciones de mayor ordenCasinos

  • Reglas Fronticas (fronesis: la virtud del pensamiento prctico)Evite la optimizacin, aprenda a amar la redundancia.Evite la prediccin de pagos muy remotosCuidado con la atipicidad de los eventos remotosToma mucho tiempo los eventos de ExtremistnCuidado con el riesgo moral

  • Reglas Fronticas (continuacin)Cuidado con las mtricas de MediocristnObserve la asimetraNo confunda la ausencia de volatilidad con la ausencia de riesgosCuidado con presentaciones de nmeros de riesgo

  • Redes y su impacto en la cuantificacin de riesgos estratgicos

  • Redes y su impacto en la cuantificacin de riesgos estratgicosEl efecto del pequeo mundoStanley Milgram (Harvard, 1950s) estudi este fenmeno que se convirti en mito urbano de los 6 grados de separacin.En los ltimos aos, el estudio de las redes se ha convertido, por virtud propia, en una ciencia completa.

  • RedesFenmenos naturales, tecnologa y cultura que pueden ser adecuadamente descritos por redesTransporte areo, redes sociales, internet, sistemas de distribucin, neurologa, gentica, organizaciones complejas, terrorismo, epidemiologa, etc.)

  • Historia de la ciencia de redesHasta la ltima dcada se ha consolidado el estudio de las redes como ciencia por parte de matemticos aplicados y fsicos.Duncan Watts (finales de los 90s) Dinmica colectiva de redes de pequeo mundo (Nature)Albert-Laszlo Barabasi Emergencia del escalamiento en redes aleatorias (Science)Realizacin que se requera de una nueva ciencia y enfoque para lo altamente complejo e intrincadamente conectado de los sistemas actuales.

  • Enfoque de las redesEnfoque en las conexiones entre elementos y no en los elementos (nodos)

  • Contesta preguntas comoDispersin de rumores y mitos urbanos; robustez de sistemas de interconexin elctrica e Internet ante ciertas circunstancias y susceptibilidad a la falla en gran escala; longitud de vida de organismos en funcin del tamao

  • Meta de la cienciaCrear un lenguaje y una estructura comn de pensamiento que pueda caracterizar fenmenos tan dispares y describirlos

  • Componentes de una redNodos: individuos en la redVnculos: relaciones de los nodos (hacia y desde)Grados: Nmero de vnculos de un nodoAgrupamientos: (clustering)Ejemplo de LinkedInHubs: Nodos de alto grado

  • Comportamiento de las redes naturales, sociales y tecnolgicas

    Alto agrupamientoDistribuciones altamente simtricas de los gradosEstructuras de hub

  • Redes de pequeo mundoDuncan Watts & Steven StrogatzLongitud de ruta promedio: (LRP) medida de qu tan pequeo es el mundo en una redMi red LinkedIn

  • Redes de pequeo mundoPara una red de 60 nodos, la longitud de ruta promedio es de 15Por medio de un cambio aleatorio en un 5% de los nodos, se puede reducir la LRP a 9.El efecto se vuelve ms dramtico con redes ms grandes

  • Rutas de mundo pequeoRelativamente pocas conexiones de larga distancia pero posee un LRP pequeo con respecto al nmero total de nodos.Validacin: Red de actores de cine, la parrilla elctrica del oeste de los EUA, el cerebro de una lombriz para el cual se conoce ya su mapa neuronal.Cada vez se encuentran ms ejemplos

  • Porqu existen y cmo se crean las redesLa necesidad de flujos de informacin rpida en la redEl alto costo de mantenimiento y creacin de conexiones de redes de larga distanciaVinculacin preferencial (propuesta por Barabasi & Albert): Los nodos con altos grados crecen ms que los que no tienen alto grado. (Gladwell Tipping points)

  • Internet como redMuchas pginas con bajo gradoMuy pocas pginas con alto gradoDistribucin sesgadaAltos niveles de agrupamiento (comunidades)Red de escalabilidad libreEstimacin del tamao: de 100 millones a 10,000 millones

  • Escalabilidad libreEl grado-entrada de la red puede ser descrito con una regla simple:Nmero de pginas Web con grado-entrada k = 1 / k2

  • Eventos con exponentes implicados fractales

    FenmenoExponente asumidoNmero de libros vendidos en los EUA1.50Frecuencia de uso de palabras1.20Nmero de visitas a sitios web1.40Llamadas telefnicas recibidas1.22Magnitud de terremotos2.80Dimetro de los crteres lunares2.14Intensidad de las manchas solares0.80Intensidad de las guerras0.80Riqueza de los estadounidenses1.10Nmero de personas por apellido1.00Poblacin de las ciudades de los EUA1.30Movimientos de mercado3.00Tamao de compaa1.50Personas fallecidas en ataques terroristas2.00

  • COMPOSICION DE USUARIOS EN REDES SOCIALES PARA LAS 21 REDES MAS GRANDESEn octubre del 2009, ms de 830 millones de usuarios visitaron las redes sociales a travs de computadoras National Geographic, Abril 2010.

    REDESMIEMBROSFACEBOOK430WINDOWS LIVE PROFILE164MY SPACE110BAIDU SPACE63TWITTER58ORKUT54HI547QQ ALUMNI43LINKEDIN35DEVIANTART34KAIXINOOI24STUDIVZ SITES17VKONTAKTE17SKYROCK16VK14MIXI13ODNOKLASSNIKI10BEBO8WER-KENT-WEN7BHARATASTUDENT4HATENA BOOKMARK4

  • Las redes sociales ms grandesNational Geographic, Abril 2010.

  • Internet como redEl nmero clave ac es el exponente: k-2Diferentes exponentes producen distribuciones que se ven muy distintas.La forma se mantiene idntica, independientemente de la escala.Una distribucin as se llama auto-similar, ya que posee la misma forma a cualquier escala que se dibuje; es decir, posee la caracterstica de invariabilidad de escala.

  • Distribuciones de escalamiento-libre versus curvas de campana (normales)Distribuciones normalesCaracterizadas por poseer una escalaSi los grados-entrada fueran normalmente distribuidos, entonces entonces todas las pginas web poseeran un nmero de grados-entrada cercanos al promedio.Los buscadores (Google) no funcionara bien

  • Propiedades de las redes libres de escalamientoUn relativamente pequeo nmero de nodos con un muy alto gradoNodos con grados a lo largo de un amplio rango de distintos valoresAuto similaridadEstructura de pequeo mundo

  • Elasticidad o c