How to Measure VaR for a Pegged Currency


On Friday, I wrote a lighthearted piece challenging criticisms of value-at-risk. The Swiss had abandoned their currency peg; people had lost money; and VaR was being blamed—again. My message was essentially this If your VaR measure wasn’t flashing red alerts prior to the peg’s abandonment, don’t worry. It wasn’t supposed to. I neglected to provide […]

RSS Categories: