Correlation Spike Queries Hedge Structures

28 May 2010

Correlation across asset classes has rocketed as disparate markets react to sovereign debt problems. The move has some arguing derivative book hedges are going to need to be radically re-hedged somehow. But there is also a camp that sees the spike as short-term background noise that can be ignored.

--Eleni Himaras

Correlation across asset classes has rocketed as disparate markets react to sovereign debt problems. The move has some arguing derivative book hedges are going to need to be radically re-hedged somehow. But there is also a camp that sees the spike as short-term background noise that can ...

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