Swiss Francs, Euros, Black Swans

Goldman Sachs Chief Financial Officer Harvey Schwartz said that this was something like a 20-standard-deviation event, and while the exact number of standard deviations is of course a subjective matter, that's the right ballpark... problems extend beyond retail brokers. Deutsche Bank had "approximately $150 million in losses," Barclays had "tens of millions of dollars of in losses," and Citi also seems to be out more than $150 million. But you have to feel a little for the traders who racked up those losses. They were not taking crazy risks. A $150 million loss translates into a position equivalent to something like 700 million euros against the franc, not that huge against Deutsche Bank's 1.7 trillion euro balance sheet. The historical daily standard deviation of such a position would be about half a million to $1.2 million... (source: Bloomberg, infra).

No One Was Supposed to Lose This Much Money on Swiss Francs http://t.co/GzqvJDaJCS
— MiaSX (@MIASXcom) January 19, 2015

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