In August, when risk.net Speaking to Michael Lublinsky – global head of macroeconomics business at Barclays – he said the un-turbulent markets this year had forced the bank to focus on how to deal with severe and specific bouts of stress. Like a 100 basis point move in prices, for example.
“It becomes even more important to do a very rigorous scenario-based analysis of your portfolio,” he said. “For example, it is not enough just to measure delta or vega, you have to understand what that would be
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