Tail Risk Hedging

objective

Execute tail risk hedging work with reproducible research, explicit controls, and deployable outputs.

workflow

1. define pricing objective, calibration universe, and hedge policy constraints.
2. calibrate model parameters with reproducible and versioned routines.
3. measure pricing error and greek drift across strikes and maturities.
4. stress jump, skew, and vol-of-vol shocks with hedge rebalancing costs.
5. release only after model error and hedge slippage stay within limits.

required diagnostics

• pricing residual by tenor, moneyness, and liquidity bucket.
• surface smoothness and no-arbitrage consistency checks.
• greek exposure concentration and hedge tracking error.
• stress outcomes under volatility spikes and gap-risk events.
• limit-breach clustering by desk and strategy
• scenario-loss tail behavior under correlated shocks