B-Book Challenge: How Delayed Hedging, Threshold-Based Controls Create Non-Linear Losses
- These controls, which are common in B-book dominant models, quietly introduce non-linear loss because the timing and structure of their controls are fragile under stress.
- Delayed hedging shifts cost from the mean into the tail. Thresholds compress that tail into a small number of extreme events. Volatility turns those events into convex losses.
Thursday, 15/01/2026 | 10:00 GMT by
Jamie Rose
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