Diego Parrilla On High Inflation, Anti-Bubbles and the Problem with Stop Losses
Macro Hive Conversations With Bilal Hafeez
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How Do You Think About Correlation?
The key to misk management is correlation. As volatility goes up, leaving correlations lower or even negative, the value at risk increases. The slipping correlation is a completely different order of magnitude to the var so effectively, what you see is people have very complaisant tars. And this is the reason why we experience a lot of people with false eversification and heathen leverage.
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