In a document dated October 1994, the same month as Meriwether’s letter, Morgan admitted that markets did not appear to be random or independent in the way of coin flips and that volatilities “are themselves quite volatile.” Nonetheless, the firm, and its imitators all over Wall Street, continued to use Value-at-Risk. Morgan couldn’t find any “persuasive alternatives,”18 the bank explained—as if that would make up for its shortcomings.
