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BUND BTP divergence

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Just to add to the LTCM theme here is a link to a podcast I posted several years ago featuring Victor Haghani who was one of the founding members of LTCM, he delves deep into all he learnt about risk management following that disaster and how it can be applied to a typical trading account (if memory serves) 2nd podcast down.

 

 

 

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interesting. very similar to the Italian bond divergence that @DanielaIG wrote about all those weeks ago. I would be interested to see the sort of size you could get on IG, the cost to hold the trade for 6 months, and the potential return. Who wants to have a crack at that maths? :P 

wonder if its worth taking on the risk of potential convergence - only the maths will tell

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