Market moves that are supposed to happen every half-decade keep happening
Risk Models
Bloomberg today had an interesting piece, called Market Moves That Are Supposed to Happen Every Half-Decade Keep Happening. Here is their self-described "terribly simplistic list"
Bloomberg today had an interesting piece, called Market Moves That Are Supposed to Happen Every Half-Decade Keep Happening. Here is their self-described "terribly simplistic list"
- 2003, June : The prices of Japanese government bonds slumped suddenly, causing Japanese banks to bump up against their VaR limits and sell-off their JGB holdings.
- 2008, October: Widespread market turmoil causes a sharp uptick in VaR across the financial system.
- 2013, June: The "taper tantrum" sparks a selloff in U.S. Treasuries, with at least one bank reportedly breaching its VaR limit.
- 2014, Oct. 15: U.S. Treasury market suddenly "melts-up," causing investors to quickly reposition their portfolios.
- 2015, January: The Swiss National Bank unexpectedly removes its currency floor, causing a further VaR shock.
- 2015, May: Investors sell German government debt, with market participants labeling the event the latest VaR shock.
I can think of some others, any suggestions?