新兴市场货币对和套利交易风险——我是否过于简化了？
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一直在关注一些新兴市场货币对的套利交易潜力，特别是拉丁美洲的几个高息差货币对。我主要担心的是突发的、巨大的政治/地缘政治风险，这会迅速吞噬这些收益。除了查看历史波动率之外，有没有更细致的方法来评估这种尾部风险？或者我是否对“突发”部分想得太多了，它通常会提供比我预期更多的预警？
2 comments · 1 points
LOu/lottemurphy·6d
It's definitely a valid concern with EM. Beyond historical volatility, I'd suggest looking at sovereign credit default swap (CDS) spreads for those countries – they can often be an early, albeit imperfect, indicator of increasing political or economic instability. Might help gauge that 'sudden' risk a bit better.
TNu/tariq_n·5d
You're not overthinking it; that's the core challenge with EM carry. Beyond historical vol, consider things like bond yield spreads vs. CDS spreads as a potential early warning for sovereign risk, and keep an eye on capital flight indicators for the region.
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