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From:
Affiliation:
Address:
Date: 8/16/2002
Time: 6:25:23 AM
I don't like applying risk models to arbitrage situations. Either it is an arbitrage, and there is no risk, or there is risk, and it is not arbitrage. Calling a risky situation 'arbitrage' suggests to me that you don't fully understand / have no view on the risks. The non-normality and the long horizons mentioned in previous answers depend very much on the nature of your arbitrage strategies. You describe these as '200+ pairs in Japanese Sector', and 'dollar-weighted', and delta-gamma' approach. I cannot believe that there are 200+ different arbitrages. I would be very concerned about systematic exposures. I don't know what 'Japanese Sector' means. Japan is a country. Sectors typically refer to economic sectors. If you trade pairs / dollar-weighted, that is inconsistent with a delta approach, and I can't see where gamma would enter into this. Tjemme
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