The risk on autocallables may change in a different way than the risk on hedges as the market moves.
As we continue our coverage of the push towards custom underlyings, such as decrement, to manage the autocallable risk on issuers’ trading books, SRP spoke to Francesco Taglietti (pictured), head of equity derivatives data & risk analytics at Citi, who has worked on the development of decrement indices since the very start of this index methodology (part 1 of 2). Autocallable notes have become increasingly popular with retail investors to generate yield by taking the view that the equ
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