Explains the logic for identifying, pricing, and sizing tail hedges for a TIPs + crude oil portfolio
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Kris Abdelmessih of Moontower will analyze tail hedging for a TIPs + crude oil trading portfolio, explaining how to identify, price, and size tail hedges for this combination. In his analysis, he points out that volatility, as a risk measure, has limitations such as sampling window selection and the inability to capture extreme tail risk.
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- Moontower“Retrospective” Tail Hedging
This article analyzes tail hedging for a TIPS + crude oil trading portfolio, noting that volatility as a risk measure has limitations such as sampling window selection and its inability to capture extreme tail risk. The author will explain the identification, pricing, and position sizing methods for tail hedging in this portfolio based on their own logic.
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- 1022 Oct 21:00
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