Lehman Brothers has unveiled what it describes as a new approach for trading risk aversion through major currencies. It says its Risk Appetite Factor Trading (Raft) model shifts the focus away from fundamental links between capital markets and currencies, and toward the issue of investor risk attitudes. It adds that the model tracks shifts in risk attitudes and trades those against a basket of currencies.
Jim McCormick, Lehman’s global head of FX research, is expressing genuine enthusiasm about the new model to anyone who will listen.
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