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Le virus brownien. La réduction brownienne de l'incertitude et la crise financière de 2007-2008

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  • Christian Walter

    (LAP - Laboratoire d’anthropologie politique – Approches interdisciplinaires et critiques des mondes contemporains, UMR 8177 - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique)

Abstract

Une disposition mentale à prendre des risques inconsidérés a été introduite dans la finance professionnelle par une erreur fondamentale de modélisation dans tous les systèmes financiers. Cette erreur est la réduction de l'incertitude par une représentation brownienne du hasard, qui laisse croire que le risque peut être totalement maîtrisé ou annulé. On désigne du terme de « virus brownien » cette erreur car elle a rendu la finance professionnelle immunodéficiente face au risque réel. Cela introduit un élément nouveau dans les causes de la crise financière, la notion de risque de modèle, et montre que du point de vue de l'éthique financière, le choix d'un modèle mathématique n'est pas éthiquement neutre

Suggested Citation

  • Christian Walter, 2009. "Le virus brownien. La réduction brownienne de l'incertitude et la crise financière de 2007-2008," Post-Print halshs-00611224, HAL.
    • Handle: RePEc:hal:journl:halshs-00611224
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00611224
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    File URL: https://shs.hal.science/halshs-00611224/document
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    Cited by:

    1. Christian Walter, 2016. "The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program," Post-Print hal-04561141, HAL.

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    Keywords

    virus brownien; Finance;

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