Comment & Analysis
What Keeps Risk Teams Awake at Night? by MAN Institute
The Anatomy of a Tantrum: Negative Convexity and MBS Hedging If there is anything guaranteed to make our risk teams wake up in the middle of the night in a cold sweat, it is self-reinforcing events, such as the quant equity unwind in 2007, or the VIX blow-up in 2018….
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