Soc Gen On The Art Of Hedging (Tail) Risk

Tyler Durden's picture Submitted by Tyler Durden on 10/08/2010 15:24 -0500

Pair Trades

This week, Soc Gen’s Stephen Antzak delivered the definitive presentation to a sell out (no pun intended) crowd of bankers and hedge funders, on how to hedge [idiosyncratic|market|correlation|macro] but most importantly, fat tail risk: the biggest bogey man in day and age when commodities open limit up, and when any day the ES can open limit down. What are the cheapest hedging strategies? What are the best pair trades? How should one be positioned in this environment of unprecedented correlation? All these and many more questions are answered by Antzak in this all encompassing presentation which we are happy to bring exclusively to our readers.


5 Your rating: None Average: 5 (5 votes)
» Share/Save Login or register to post commentsPrinter-friendly versionSend to friend

by Jake Lamotta
on Fri, 10/08/2010 – 16:39

Didn’t SocGen put one of their traders on trail for taking on hedging contracts that cost them $6 billion?  As long as they make money the former CEO, Daniel Bouton was happy & took full credit for the results.


But when the shit hit the fan, the trader was left cut & dry on his own to be prosecuted criminally. He got 5 years and must serve 3 years minimum.  And the trader must pay back the $6 Billion hedge unwinding loss.


I hope SocGen accepts personal checks?

Login or register to post comments by Jake Lamotta
on Fri, 10/08/2010 – 16:42

Jerome Kerviel, the trader, is my fucking hero.  He put a hell of a dent into the armour of that bastard bank!!!

Login or register to post comments by nonclaim
on Fri, 10/08/2010 – 19:01

And in exchange for Jerome’s taking *all* the blame the bank will not pursue the €4B it is owed. Hmm right, something tells me he got a lot more under the table that just the waver… to keep quiet about how it was inside the bank.

Login or register to post comments by doolittlegeorge
on Fri, 10/08/2010 – 20:57


Login or register to post comments by JR
on Fri, 10/08/2010 – 20:39
In the verdict in the case of Jerome Kerviel, the French people instantly reacted with outrage, identifying him as one who was forced to take the fall for his bank superiors who clearly allowed his trades, probably on the chance that they would generate income.  One newspaper headlined the verdict: Goliath Slews David.

NPR’s reporter from France said this week that the order requiring Kerviel to repay the $6.8 billion trading loss on his technology consultant salary was the main point of the outrage expressed by the French people she interviewed.  The French consider it vindictiveness by the court; that it wasn’t a just ruling.  The court, they believe, is in the pocket of the bankers.

Kerviel plans to appeal, she said, but he’s already won in the court of French public opinion.

As for Soc Gen forgiving the repayment, why not?  The central bank will just print them more.

Login or register to post comments by davidsmith
on Fri, 10/08/2010 – 19:16

Just wanted to remind you why the looting will continue: unemployment rate for those with a Bachelor’s degree or higher FELL in September, from 4.6 to 4.4.  Sound like a revolutionary statistic to you?  Not really.


Unemployment rate



Login or register to post comments by JR
on Fri, 10/08/2010 – 20:30

According to a recent OECD report in The Economist last month, one-third of college graduates in the United States between the ages of 25 and 29 work low-skilled jobs.

Spain and Canada are highest in terms of percentage of young adults who work in low-skilled areas — in Spain, nearly 45 percent of young adults hold lower-skilled jobs, in Canada about 37.5%—followed by the United States at nearly 33%.

British graduates aged 25-34 earn $57,000 on average, their Swedish peers earn $37,400 and U.S. peers, $56,200.  Poland’s graduates $11,800, Germany’s $55,400.

In related news, a recent report from ABC7 Chicago detailed how more college graduates were on the hunt for blue-collar jobs…



Login or register to post comments by Voodoo Economics
on Fri, 10/08/2010 – 19:42

“Black Swan’ Author Says Investors Should Sue Nobel for Crisis”

I’m with TALEB!!! f*&@ EM ALL!

Markowitz & Finance DRONES shouldn’t be investors or anywhere investment decisions.


Login or register to post comments by doolittlegeorge
on Fri, 10/08/2010 – 22:36

the term was called “Present at the Creation.”  Welcome to “the Age of Hedge Funds”–they have arrived, day’re in da house.  Day may even be in da White House!

Login or register to post comments by Eric Cartman
on Fri, 10/08/2010 – 22:50

Interesting. I didn’t know you could hedge positions with puts. Now I can do my 3am USD/JY sell and buy a put to hedge my position. Thanks!

Login or register to post comments by Buyemall
on Sat, 10/09/2010 – 04:39

Very interesting but not downloadable or printable

Can you do something about it?

Login or register to post comments by kaiserhoff
on Sat, 10/09/2010 – 08:48

Hedging requires adult supervision.  Soc Gen should come back AFTER they re-establish some credibility (maybe 100 years?).

Login or register to post comments Comment viewing options Flat list – collapsedFlat list – expandedThreaded list – collapsedThreaded list – expanded Date – newest firstDate – oldest first 10 comments per page30 comments per page50 comments per page70 comments per page90 comments per page150 comments per page200 comments per page250 comments per page300 comments per pageSelect your preferred way to display the comments and click “Save settings” to activate your changes. Search Search this site: Latest News From RAN Squawk 10-08 15:19: RANsquawk ‘Market Wrap Up’: Video uploaded to 10-08 15:13: US EQUITY WRAP 10-08 15:02: IMF’s Strauss-Kahn says too simple to believe that CNY revaluation alone would solve global imbalance problem 10-08 14:53: Support seen in AUD/CHF at 0.9500, trades 0.9502 last 10-08 14:46: IMF chief plans to unveil currency initiative details on Saturday 10-08 14:26: Barclays Capital revises treasury forecasts in research note 10-08 14:20: Broad base CAD strength, USD/CAD prints fresh session low at 1.0115 10-08 14:02: US FIXED INCOME WRAP The Zero Hedge Team

Tyler Durden – Founder

Marla Singer – Foil

Travis – Author

Cornelius – Author

Sacrilege – Senior Researcher


tips [ at ] zerohedge [ dot ] com – Our Reader Tips Mailbox

Make sure to read our “How To [Read/Tip Off] Zero Hedge Without Attracting The Interest Of [Human Resources/The Treasury/Black Helicopters]” Guide

ads [ at ] zerohedge [ dot ] com – Advertising Inquiries.

abuse [ at ] zerohedge [ dot ] com – Abuse / Infringement Issues


It would be very wise of you to study our disclaimer, our privacy policy and our (non)policy on conflicts / full disclosure.


Zero Hedge Offices:

United States: (888.784.9376)

+41 43 501 6717

+44 20 3318 4753

copyright ©2009, 2010 zero hedge – limited reproduction (with attribution) permitted by request

zero hedge’s redundancy powered by:

Drupal e-commerce provided by Ubercart.

View the Original article


Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s