Last Updated:2025/11/24

After backtesting, the risk team concluded that the cega of the multi-asset option could amplify P&L swings during sudden correlation shifts, so they hedged accordingly.

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After backtesting, the risk team concluded that the cega of the multi-asset option could amplify P&L swings during sudden correlation shifts, so they hedged accordingly.

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バックテストの結果、リスクチームはマルチアセットオプションの相関感応度が相関の急変時に損益の変動を増幅する可能性があると結論付け、適切にヘッジを行った。

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