What the Swiss FX shock says about risk models. Jon Danielsson. Modelsandrisk.org

What the Swiss FX shock says about risk models

January 18, 2015
The Swiss central bank last week abandoned its euro exchange rate ceiling. This column argues that the fallout from the decision demonstrates the inherent weaknesses of the regulator-approved standard risk models used in financial institutions. These models under-forecast risk before the announcement and over-forecast risk after the announcement, getting it wrong in all states of the world.

Published on VoxEU.org

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