Interview: Adam McKay Talks ‘The Big Short,’ Making a ‘Bourne’-Style Financial Drama, Angering Judd Apatow & More

To ignite a spark in Adam McKay’s step, simply mention Jesse Moss’ documentary from last year, “The Overnighters.” A recent Netflix watch by the writer/director of “Anchorman” and “Step Brothers” has left him blown away, and willing to explore every facet when I sit down with him in Los Angeles. But how would he pitch such a reveal-heavy film? “A minister in this oil-rich town lets these transient workers sleep in his church, and all I’ll tell you besides that is if I had to explain where America is right now, I would have you watch that movie.” It’s fitting, and gracious, considering that we’re here to talk about McKay’s latest film, “The Big Short,” which explains how America got to its present state by focusing on its recent financial past.

Focused on the housing and credit bubble that burst in 2008 to several trillions of dollars worth in losses and taxpayer-bought bailouts, McKay’s film highlights his political and dramatic impulses from frame one. Not to say it doesn’t...