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What the Swiss FX shock says about risk models

Danielsson, Jon (2015) What the Swiss FX shock says about risk models.

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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:
Additional Information: © 2015 The Author
Divisions: Finance
Financial Markets Group
Systemic Risk Centre
Subjects: 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
Last Modified: 07 May 2019 23:06

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