Danielsson, Jon 
ORCID: 0009-0006-9844-7960
(2015)
What the Swiss FX shock says about risk models.
VoxEU.
Abstract
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.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.voxeu.org/ |
| Additional Information: | © 2015 The Author |
| Divisions: | Finance Financial Markets Group Systemic Risk Centre |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance |
| Date Deposited: | 22 May 2015 10:52 |
| Last Modified: | 01 Oct 2024 03:04 |
| URI: | http://eprints.lse.ac.uk/id/eprint/62057 |
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