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Quantitative Finance · Glossaire

Qu'est-ce que « Carry crash » ?

Definition 20.3 Strategies I: Equities and Futures · Chapitre 20 — Carry Across Asset Classes

A carry crash is a sudden, large loss of a carry strategy when high-carry assets fall and low-carry assets rise together, typically as leveraged carry positions are unwound in a fall of risk appetite or funding liquidity; it makes the strategy’s returns negatively skewed.

The diversified and currency carry books on the synthetic universe when all carry is earned, each at 10% volatility, as cumulative sums of daily returns; the shaded bands are the three stock crashes. Data: s1_carry.paths.
Figure 20.2. The diversified and currency carry books on the synthetic universe when all carry is earned, each at 10% volatility, as cumulative sums of daily returns; the shaded bands are the three stock crashes. Data: s1_carry.paths.
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