By Sudhanshu Kanwar, CFA, FRM, CQF “Hedging Delta protects you against yesterday’s risk, Hedging Vomma and Ultima prepares you for tomorrow’s crash” Abstract Historical economic landscape shocks from Black Monday to the COVID-19 crisis have repeatedly exposed shortcomings of traditional Delta-centric hedging. Successful risk management demands understanding of higher-order Greeks—particularly Vomma, Zomma, and Ultima—that reveal […]
Category Archives: Blog
Kannan Singaravelu April 03, 2025 Abstract Risk management in structured systems often relies on Value-at-Risk (VaR) as a key indicator of systemic stress. Analysis indicates that 2024 experienced the highest number of VaR breaches since 2020. In July 2024, the NASDAQ-100 breached its 10-day VaR seven times, including four consecutive breaches—an anomaly given its historical […]
Warm Welcome to everyone interested in quant and systematic strategies! We are excited to start this non-profit Quant Association for India as an industry body for quant was much needed given the high growth and scope of quant in India! Lots of exciting things like events, talks, research sessions, learning events and others are planned […]
