I'm not sure he called them out by name. If you read `Against VAR` [1] from 1997 (LTCM blew up in 1998) you see basically all the ideas of The Black Swan / Fool

I'm not sure he called them out by name. If you read `Against VAR` [1] from 1997 (LTCM blew up in 1998) you see basically all the ideas of The Black Swan / Fooled By Randomness. LTCM was doing all the things that he says are risky. The guy who wrote "In Defense of VAR" on that same page subsequently wrote "Risk Management Lessons from Long-Term Capital Management"[2]. Also in Taleb's 1997 book "Dynamic Hedging", chapter 9 "Vega and the Volatility Surface" talks about liquidity as one of the pre-eminent risks of an option book (as opposed to individual option positions). [1] http://www.derivativesstrategy.com/magazine/archive/1997/0497fea2.asp http://www.derivativesstrategy.com/magazine/archive/1997/049... [2] https://merage.uci.edu/~jorion/papers/ltcm.pdf https://merage.uci.edu/~jorion/papers/ltcm.pdf