Vix options of limited use in hedging Asia portfolio tail risk
Misunderstanding of the correlation between global levels of volatility leading Asian investors to place too much faith in Vix, according to Edhec Risk Institute
US Vix futures are an inappropriate tool for Asian investors looking to hedge out their tail risk because of the low correlation between volatility in different global markets during stress events, according to a study by the Edhec Risk Institute.
Hong Kong and Japan both launched option-implied volatility futures in February 2012, eight years after the Chicago Board Options Exchange (CBOE) set up
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