Volume 8, Issue 2, 2014
Low leverage this time should result in milder correction than 2008/9
More Tail risk articles
We investigate the empirical performance of hedging strategies based on Greeks, such as Delta and Delta-Gamma, for (European-style) crude oil options in a generalized autoregressive conditional heteroscedasticity...
A well-diversified portfolio could be better for controlling risk than volatility investments, according to members of the family office industry.
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. ...
ORX chairman says Basel II definition is fundamentally flawed
Alpha in Vega
Chasing the tail
Research on how investors are protecting themselves from tail risk events shows a preference for managed futures/CTAs. There is also reluctance to use single hedge fund strategies as protection.
Investors and hedge fund managers are trying to find effective and cost-efficient ways to tackle tail risk. One way to hedge this risk is through long-dated options, because they offer convexity.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.