How to Measure VaR for a Pegged Currency

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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 … Continue reading How to Measure VaR for a Pegged Currency

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