The Swiss National Bank (SNB) introduced a peg to the Euro in 2011. On January 15, 2015, the SNB suddenly announced that it would no longer hold the Swiss Franc at a fixed exchange rate to the Euro. The graph below shows you the performance of the Swiss Franc against the Euro over the five years leading to the peg abandonment: before 2011 there was a period of high exchange rate volatility, followed by a period of stability while the peg was in place (from September 2011 to January 2015), and a dramatic one-day surge upon the peg's abandonment. 1.1 1.0 0.9 0.8 0.7 0.6 2012 2013 2014 EUR per CHF 2010 2011 Explain how you would calculate the daily 95% VaR of your exposure in the EUR/CHF currency pair while the peg was in place using the model building approach. The Swiss National Bank (SNB) introduced a peg to the Euro in 2011. On January 15, 2015, the SNB suddenly announced that it would no longer hold the Swiss Franc at a fixed exchange rate to the Euro. The graph below shows you the performance of the Swiss Franc against the Euro over the five years leading to the peg abandonment: before 2011 there was a period of high exchange rate volatility, followed by a period of stability while the peg was in place (from September 2011 to January 2015), and a dramatic one-day surge upon the peg's abandonment. 1.1 1.0 0.9 0.8 0.7 0.6 2012 2013 2014 EUR per CHF 2010 2011 Explain how you would calculate the daily 95% VaR of your exposure in the EUR/CHF currency pair while the peg was in place using the model building approach