There are many different ways to calculate value-at-risk – the measure regulators require banks to use when setting aside capital for trading losses – but none of them would have prepared an institution for what happened on January 15, when the Swiss National Bank stopped trying to enforce its Swiss franc floor, and the exchange rate fell almost 40% in a matter of minutes.
"Regulatory models are designed to manage day-to-day risk. They are not suitable for tail risk in any way," says Jon Daniels
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