In consequence, the use of Levy distributions means that extreme events do not suddenly increase margin requirements, which would be what would happen if the latter were based on more conventional econometric estimation. The danger of a sudden increase in margin requirements is that it may trigger forced sales, worsening the events that have caused the increase: "Suddenly there is some volatility in the market and suddenly your value-at-risk [see glossary] blows up, and `Oh, now I've got to do something.' So [I've] got to liquidate.... It's almost likely a secondary feedback effect that adds to the volatility."

Donald MacKenzie, An Engine, Not a Camera, loc. 941