That's because most of the risk models aren't modeling the most important and real risk in financial business: the risk of receiving margin calls in excess of y

That's because most of the risk models aren't modeling the most important and real risk in financial business: the risk of receiving margin calls in excess of your capital, or in other words, the risk of ruin. Models generate valuation under various conditions and sometimes these valuations are compared to available capital, but that is not enough. Especially when your securities are held at banks that determine their valuations based on factors not included in your model. If actual trdes are posting in similar securities at values that are very far from the model due to a liquidity or some other event then the margin calls will come in. This is how almost all spectacular failures have happened. If you don't use excessive leverage (> 2:1) it's not important, but for highly leveraged portfolios the most important risks are market moves that are unrelated to fancy models.