Credit Suisse offloads $1bn of Asian equity correlation risk exports hedge engineering

New Angles


Credit Suisse has shed correlation exposures related to around $1 billion of structured products in the past month through an innovative new geometric average-variance structure - developed in Hong Kong - that it has sold to hedge funds and bank proprietary trading desks.

The structure, which effectively offloads covariance risk and is called a geometric variance dispersion trade by the Swiss bank, goes a step further than the typical arithmetic average variance structures offered in the region

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