
Barzykin and Guéant – 28/03/23
Quantcast – a Risk.net Cutting Edge podcast
The Pure Flow of Internalization Area
There is a threshold of inventory below which it is optimal for the dealer not to externalize. And normally, who takes this decision? Is it up to the trader or is it a risk management decision? I would say risk tolerance can be decided by the desk. But otherwise, it's a product of optimization.
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