Remembering Lehman: CCPs hardwire collapse into models

Lehman brothers building
Photo: David Shankbone/Wikimedia

With their cardboard boxes and dazed expressions, the employees of Lehman Brothers slunk across US television screens again during September, marking five years since the investment bank’s collapse. Countless retrospectives made it a difficult anniversary to forget – but for any value-at-risk model based on five years of historic data, the turmoil following the September 15, 2008 bankruptcy filing is now being erased, day by day.

Banks and central counterparties (CCPs) are free to choose a so

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