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.

 

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by Jake Lamotta
on Fri, 10/08/2010 – 16:39
#636626

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
#636633

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
#636916

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
#637105

rrrooowwwww.

Login or register to post comments by JR
on Fri, 10/08/2010 – 20:39
#637073
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
#636949

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

5.05.04.54.84.74.44.54.64.4

 

 

Login or register to post comments by JR
on Fri, 10/08/2010 – 20:30
#637062

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…

http://www.economist.com/node/16984636

 

 

Login or register to post comments by Voodoo Economics
on Fri, 10/08/2010 – 19:42
#636986

“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.

Bloomberg:  http://www.bloomberg.com/news/2010-10-08/taleb-says-crisis-makes-nobel-panel-liable-for-legitimizing-economists.html 

Login or register to post comments by doolittlegeorge
on Fri, 10/08/2010 – 22:36
#637245

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
#637258

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
#637461

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
#637591

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

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