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Quantitative Finance · Glossaire

Qu'est-ce que « Exotic book exposure » ?

Definition 28.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 28 — Hedging a Structured-Products Book

An exotic book exposure is a sensitivity of a book of structured products to a market input that vanilla instruments hedge only in part (volatility at long maturities, skew, dividends, correlation), measured by revaluing the whole book with the input bumped.

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