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Implementing Long Volatility Exposures For Hedging
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Basel Committee on Banking Supervision
www.bis.orgA volatility transaction is one in which the reference asset depends on the volatility (historical or implied) of a risk factor. Common examples of volatility transactions include variance and volatility swaps and options on volatility indices. Volatility transactions form hedging sets according to the rules of their respective asset classes.
International Convergence of Capital Measurement and ...
www.bis.orgBasel Committee on Banking Supervision International Convergence of Capital Measurement and Capital Standards A Revised Framework Comprehensive Version