Danielsson, Jon (2015) What the Swiss FX shock says about risk models. VoxEU.org (18 Jan 2015) Opinion Piece.
Full text not available from this repository.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: | Website (Opinion Piece) |
|---|---|
| Official URL: | http://www.voxeu.org/ |
| Additional Information: | © 2015 The Author |
| Library of Congress subject classification: | H Social Sciences > HA Statistics H Social Sciences > HG Finance |
| Sets: | Departments > Finance Research centres and groups > Financial Markets Group (FMG) Research centres and groups > Systemic Risk Centre |
| Date Deposited: | 22 May 2015 10:52 |
| URL: | http://eprints.lse.ac.uk/62057/ |
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