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Implied Tail for futures
what is "implied tail" when it comes to futures? any one heard of that? thx
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- Martinghoul
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Implied Tail for futures
If it's bond futures, it probably has something to do with tail risk arnd delivery...
Last edited by Martinghoul on November 4th, 2008, 11:00 pm, edited 1 time in total.
Implied Tail for futures
it's about bond futures. Also think it has sth to do with tail risk or distribution. still has no clue. Googled it, only find one paper talking about "tail risk index" from Generalized Extreme Value Distribution (GEV) model.Does that have sth to do with DV01 neutral calander roll? Just my guess.
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- Martinghoul
- Posts: 188
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Implied Tail for futures
This is what happens at delivery time when the conversion factor sorta discontinuously jumps to 1. If you had a bond vs futures position, at delivery time you will suddenly discover that you're not flat, where you were before. This is your 'tail risk'.Read 'The Treasury Bond Basis' by Burghardt, Belton et al.