The standard deviations and correlations that went into LTCM's aggregaterisk model were, however, not simply the empirically observed numbers; they were deliberately conservative estimates of future values. The observed standard deviation of the U.S. dollar swap spread, for example, was around 12 basis points a year, while, as noted above, the risk model assumed it would be 15 (Rosenfeld interview). Past correlation levels, likewise, were "upped" to provide a safety factor: despite observed correlations being 0.1 or less, LTCM was "running analyses at correlations at around 0.3" (Meriwether interview).

Donald MacKenzie, An Engine, Not a Camera, loc. 998