Time to see models and shocks for what they are

The Swiss franc surge on January 15, when the central bank abandoned its peg to the euro, revealed continuing confusion about the role, the value and the limitations of models, says David Rowe


Some events elicit very revealing reactions. One such was the mid-January surge in the Swiss franc exchange rate versus the euro. It followed the decision by the Swiss central bank to abandon the pegged rate it had maintained since 2011. Some will recall a comment in August 2007 by David Viniar – then chief financial officer of Goldman Sachs – that one of the bank's funds had fallen victim to the impact of "25-standard deviation events several days in a row". Clearly the urge for self

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here