3 ms·
A second collective realization I'd like to see is that the SEC is still using the same faulty Value-at-Risk model they were using before the 2008 crash to esti
by hundreddaysoff 6y ago
A second collective realization I'd like to see is that the SEC is still using the same faulty Value-at-Risk model they were using before the 2008 crash to estimate clearing funds. They should probably not use this model to do this any more.
See https://www.sec.gov/rules/sro/nscc-an/2018/34-82631.pdf https://www.sec.gov/rules/sro/nscc-an/2018/34-82631.pdf and explanation at https://twitter.com/MKM_Abdul/status/1355310540235579395 https://twitter.com/MKM_Abdul/status/1355310540235579395