Beware attempts to reduce tail-risk hedge costs, says Rattray

grc0612costs

Attempts by bank management to reduce the costs of systematic tail-risk strategies by putting on discretionary positions is dangerous, as illustrated by the multi-billion-dollar loss racked up by JP Morgan on credit derivatives hedges, according to Sandy Rattray, chief investment officer of Man Systematic Strategies, part of Man Group.

Speaking on a panel at a risk management conference hosted by the Chicago Board Options Exchange in Ireland yesterday, Rattray – the co-inventor of the Vix index

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: