During summer 1998 upheavals that eventually brought down the Long Term Capital Management (LTCM), 15-plus sigma deviations became the norm.3 It is thus clear that the assumption of normality in the probability distribution does not correspond to reality, particularly, in highly stressed situations. 1  Dowd, Kevin and Hutchinson, Martin, “Alchemists of Loss”, Times Group Books.
2  Danielsson, Jon, “Blame the Model”, Journal of Financial Stability 4 (2008).