On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective
利用期权定价模型估计瑞士央行维持欧元/瑞士法郎1.20下限期间的真实违约概率，发现市场认为的可信度远低于官方宣称，在放弃前概率升至约50%。
We estimate the risk‐neutral break probabilities of a realignment of the EUR/CHF 1.20 floor, maintained by the SNB from September 6, 2011, to January 15, 2015, using put options and an option pricing model, which assumes a lower barrier for the exchange rate. We estimate probabilities considerably different from zero, even when the exchange rate traded far above the floor. We observe a drastic increase in the break probabilities up to approximately 50% shortly before the floor was abandoned. From an option market perspective, the credibility of the SNB in maintaining the floor was, thus, substantially lower than publicly claimed.