Is short vol taking the long count?
Risk.net Short volatility players try to box clever after strategy’s Covid rout Print this page It’s been a bruising experience for the likes of Frank Maeba. March 2020’s dramatic selloff in equity markets – and subsequent rally to today’s record highs – came as a body blow to the Neuberger Berman volatility expert. As they did to many managers grappling with the risk-reward profile of selling vol in unparalleled conditions. “When it comes to risk management for short vol, I think risk models were calibrated for a 2008/2009 type event,” says Maeba. “But just ...
Source: risk.net