Lleo, Sebastien and Ziemba, Bill (2015) The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis. Special Papers (No 8). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
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Abstract
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected and extreme. The Swiss National Bank decision on January 15, 2015 to abandon the 1.20 peg against the euro was a tremendous blow for many Swiss exporters, but also Swiss and international investors, hedge funds, global macro funds, banks as well as the Swiss central bank. In this paper we discuss the causes for this action, the money losers and the few winners, what it means for Switzerland, Europe and the rest of the world, what kinds of trades lost and how they have been prevented.
| Item Type: | Monograph (Report) |
|---|---|
| Official URL: | http://www.systemicrisk.ac.uk/ |
| Additional Information: | © 2015 The Authors |
| Divisions: | Systemic Risk Centre |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | B - Schools of Economic Thought and Methodology > B4 - Economic Methodology > B41 - Economic Methodology C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation and Selection G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions |
| Date Deposited: | 21 Jan 2016 16:44 |
| Last Modified: | 10 Apr 2024 02:00 |
| Projects: | ES/K002309/1 |
| Funders: | ESRC |
| URI: | http://eprints.lse.ac.uk/id/eprint/65107 |
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