Tail-risk skewness, rather than volatility, is correlated with risk premiums
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More Tail risk articles
Trading portfolios are easily mishandled, as are Europe's economies
Low leverage this time should result in milder correction than 2008/9
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.
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.