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Quantitative Finance · Glossário

O que é Recycling trade?

Definition 28.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 28 — Hedging a Structured-Products Book

A recycling trade is a trade by which an issuer of structured products passes on to other investors the exposures its book cannot hedge with vanilla instruments: selling long-dated volatility, selling dividends, buying correlation, usually at a concession.

The synthetic book’s exposures by note: the bank’s P&L for a 1 point rise in volatility, a 0.05 rise in skew, a 0.1 point rise in dividend yield and a 0.05 rise in correlation. Data: s2_sphedge.table.
Figure 28.2. The synthetic book’s exposures by note: the bank’s P&L for a 1 point rise in volatility, a 0.05 rise in skew, a 0.1 point rise in dividend yield and a 0.05 rise in correlation. Data: s2_sphedge.table.
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