Corporate Finance, DeFi, Blockchain, Web3 News
Corporate Finance, DeFi, Blockchain News

FY360° | What the Swiss FX shock says about risk models

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.


When the Swiss National Bank (SNB) announced on 15 January that it would no longer intervene to keep the franc/euro exchange rate at 1.20 (Swiss National Bank 2015), the franc appreciated by 16% that day – an almost unprecedented one-day movement for a major currency. Leaving aside the economic rationale for the announcement, what does its impact say about state-of-the-art models for risk forecasting?...

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Mercredi 21 Janvier 2015




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