Feb 2018 Volatility Event

Yuepeng “Perry” Li, CFA, FRM
Parametric Portfolio Associates LLC
Friday, March 8, 2019 - 5:30pm to 6:30pm
Vincent Hall 16

On the Monday of February 5th 2018, VIX Index (measure of expected future volatility) spiked by 116% to 37.3, and massive turbulence was observed across global financial markets. During the talk, we will review this event and discuss on the following topics:

  • How did we get there? --- Low volatility environment and the great snake of risk 
  • What happened? --- 2017’s hottest trades went wrong, and several funds and firms (!) were effectively wiped out
  • What did we learn? – Positioning, behavior, and never underestimate the risk of financial markets (convexity to volatility and VaR calcs)