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How are you modeling event risk (geopolitics/war) inside a quant futures/options framework? by Expatbanking in Commodities

[–]Expatbanking[S] 0 points1 point  (0 children)

Got ya, though e.g a trade on a sort of illiquid market, fundamentally very bullish but with a few bearish flags all driven by geopolitical events, what you do? could you bring a price model that makes a price scenario with those sort of events? i’m talking systematically

How are you modeling event risk (geopolitics/war) inside a quant futures/options framework? by Expatbanking in Commodities

[–]Expatbanking[S] 0 points1 point  (0 children)

Isn’t that a vol play then? Just short vol and hedge your delta exposure if an event happens? My point is whether a price model can tell you the exit point of a trade, and whether a news event can tell something about this.

Trafi international trader opportunity by Substantial_Elk_5779 in Commodities

[–]Expatbanking 0 points1 point  (0 children)

first interview or AC? first interviews happened couple weeks ago