Aritra Banerjee

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Last quote by Aritra Banerjee

We think more work needs to go into the effective pricing and hedging of such products, as well as for more standardisation of market-wide conventions. The credit market is a much younger one than the deeply entrenched equity market. As a result there are fewer systematic short-volatility strategies in credit. Credit markets don't have the large exchange-traded product participation which the VIX does, hence there is less pressure on option prices from various short-selling strategies.feedback
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May 16 2017
We found 1 article in which Aritra Banerjee said something. The most recent Aritra Banerjee’s quote is: “We replicated this methodology to create a 'credit VIX', which we think captures a lot more information contained within option markets, allowing it to serve as a more accurate metric for broad risk aversion, and one which we think investors should track going forward. At present we usually look at things like at-the-money implied volatility or payer skew to ascertain the level of risk being priced in credit markets. However, looking at just one point misses useful information contained elsewhere in option prices.”. In addition, all sources we refer have quoted Aritra Banerjee 2 times. On this page, you will find all of Aritra Banerjee’s quotes organized by date and topic.
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