Theo Casey looks to Europe to hedge tail risk.
lucky I was at the 14-10 club this week. It saved me trading a
the Royal Institution’s science and maths club for
bankers played host to Professor Carol Alexander from the ICMA
Centre. Her operation in Reading is a 1:10 scale model of NYU
Stern’s voluminous volatility lab. Carol, together
with her PhD students, has produced a steady drumbeat of papers
on the ups and downs of the exchange traded derivative
evening Carol was understandably rather more focussed on the
downs. Volatility is structurally changing and it is the ETN
market’s fault. Or rather, it is the users of the
ETN market’s fault.
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