Implementing Long Volatility Exposures for Hedging - Cboe

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Implementing long Volatility Exposures for Hedging1 December 2016/ Risk Management. Spectrum of Downside Protection & long Volatility Strategies. long Volatility long Volatility Exposures for Hedging2/Risk ManagementImplementing long Volatility Exposures for Hedging3/ Risk Management: risk is a multi-faceted, multi-horizon, concept that focuses on the possibility of shortfall relative to expectations (journey) and outcomes (destination). This definition of risk indicates a spectrum of potential sensitivities across a range of time horizons rather than a single risk level (floor) for most schemes. Objective: the objective of the Risk Management is broader than simply the management of low frequency end of horizon events (mission impairment) and accordingly extends from the left shoulder of the distribution to the tail.

2 Implementing Long Volatility Exposures for Hedging / ... DePalama, M; & Scholes, M (2012) ‘An Introduction to Tail Risk Parity’, AllianceBernstein White Paper. / We have spent significant time with our stakeholders clearly defining the ... / Implementing Long Volatility Exposures for Hedging Spectrum of Downside Protection: Is the Problem ...

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