gold, page-23928

@Proctalgia

In a past life I managed risk on a precious metal derivative book for a major bank. That book had billions in notional outstandings.

We employed very expensive systems to deconstruct the price risk on gold to give precise weighting to each component. "Two tenths of bugger all"¹ is a good summary of the results obtained when we stress tested² our gold positions for changes in interest rates, leaving all other factors constant.


1."Immaterial" is probably a more professional description.
2. The standard stress test parameter that we use was 200 points up (a 2% increase) and the number still couldn't make us jump up and pay attention.