Equity investors have long been able to tap directly into volatility, correlation and dividends. Most dealers offer markets in these so-called hidden assets, with variance swaps by far the most liquid, attracting attention from hedge funds, asset managers and pension funds. However, taking exposure to skew - often described as the Holy Grail of hidden assets - has proved more elusive.
There would appear to be plenty of opportunities for those able to tap into skew: the curve has been consistentl
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data