Es lebe die Varianz
Trotz der großen Verluste bei Varianzswapgeschäften Mitte 2006 nutzen die Händler exotischere Instrumente für eine günstigere und ihren individuellen Bedürfnissen besser entsprechende Exponierung gegenüber Volatilität - doch auf der Käuferseite gibt es auch Skeptiker
Die volatilen Aktienmärkte im Mai und Juni 2006 führten bei den Händlern für Varianzswaps zu Panik. Bei der Marktwertbewertung erlitten die Prop-Desks, Hedgefonds und Real-Money-Manager Verluste in Millionendollarhöhe, die die Probleme der Verwaltung exotischer Aktienrisiken offenkundig werden ließen. Aber statt einen Bogen um Varianzswaps zu machen, nutzen einige Investoren eine neue Produktgeneration zum neuerlichen Aufbau von Engagements.
"In der Zeit nach Mai und Juni war der Verkauf von
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