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Liquidity/funding cost hedging

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Liquidity/funding cost hedging Even passive hedging strategies allow to limit the tail risk quite substantially - investing 30bp into 6m 10% or 25% delta USD ... – PowerPoint PPT presentation

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Title: Liquidity/funding cost hedging


1
Liquidity/funding cost hedging
Even passive hedging strategies allow to limit
the tail risk quite substantially - investing
30bp into 6m 10 or 25 delta USD/RUB calls along
simple taking profit rules significantly moves
the average as well as worst case scenario
funding cost
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