Credit Suisse offloads $1bn of Asian equity correlation risk exports hedge engineering
Swiss bank exports Asian hedge engineering to Europe
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
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