Dealers Toy With Gamma Hedging Tranche Books

Some corporate credit correlation desks are trying to gamma hedge their bespoke collateralized debt obligations in a bid to better hedge against the risk spreads on the underlying tranches move out wider than anticipated.

  • 14 Mar 2008
Some corporate credit correlation desks are trying to gamma hedge their bespoke collateralized debt obligations in a bid to better hedge against the risk spreads on the underlying tranches move out wider than anticipated. Dealers have typically dealt with this risk by delta hedging, that is, buying or ...

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All International Bonds

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5 Deutsche Bank 24,623.55 77 5.51%

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5 Mitsubishi UFJ Financial Group 811.02 2 4.86%

Bookrunners of all EMEA ECM Issuance

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5 SG Corporate & Investment Banking 444.17 3 5.37%