Flirting with Models cover image

Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)

Flirting with Models

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The Risk of Path Dependency in a Beta Replicating Strategy

Roxanne Jones: There is potentially some inherent path dependency that gets introduced through a potential margin call at some point. I'm hoping maybe you could talk to me about these trade offs and maybe why you see it not really as a trade off, that the risk isn't there. So yeah, it's a risk, but I think it's very dependent on the strategy that we're talking about. The scalability of the technology solution seems like it naturally lends itself to a high degree of potential customization for clients. Yet in our pre-call, one of the things you said to me is that you don't refuse customization because you're lazy, but you didn't tell me why

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