Brad DeLong has been reading Riccardo Rebonato's The Plight of the Fortune Tellers and rather likes it:

Rebonato's hammered-home point that the 99.9% value-at -risk for a weekly return distribution cannot be determined. You would need 200 years of data from an unchanging return distribution...The four-part classification of transactions:

* Sold lottery tickets
* Bought insurance
* Sold insurance
* Bought lottery tickets

is very useful, and I wish that he had expanded on it more...All in all, a highly recommended book.

A better understanding of rare events wouldn't go amiss within the industry either - David Viniar, for example.

Meanwhile, correlation funds are noticing the opportunities presented by high volatility. Risk Books' latest publication explores the latest generation of volatility products - Volatility as an Asset Class looks at the gamut of vol products now on offer, covering trading strategies, theory and pricing.