CSU issuance dashboard

Capped Short Units under Bates SVJ -- generated 2026-08-20 from results/. Methodological study; not investment advice.

Verdict by volatility regime

Do not issue at listed terms

0.2383

Price (final, per notional)

66.2%

Knock-out probability

73%

Tail margin / price

+16.4%

Hedged mean P&L

-5.9%

Worst hedged path

Issue at reduced size (alpha = 0.5)

0.1639

Price (final, per notional)

48.2%

case	MC	SE	exact	abs_err	err_in_SE
GBM limit, BGK=off	4.367e-02	3.099e-05	4.272e-02	9.450e-04	3.050e+01
GBM limit, BGK=on	4.271e-02	3.714e-05	4.272e-02	1.512e-05	4.071e-01
Fourier vanilla vs BS (sigma->0)	4.600e+00	nan	4.600e+00	4.973e-09	nan

scenario	P0_raw	SE	KO_rate	SE_KO	ES999	ES999_CI90	ES_method	tail_margin	P0_final	CV_var_red
2008 Crisis	0.0655	0.0001	0.6624	0.0011	0.5760	[0.5720,0.5821]	pot-gpd	0.1728	0.2383	0.7108
2010 Flash Crash	0.0484	0.0001	0.4820	0.0011	0.3848	[0.3803,0.3884]	pot-gpd	0.1155	0.1639	0.9116
COVID-19	0.0715	0.0002	0.6889	0.0010	0.6587	[0.6501,0.6636]	pot-gpd	0.1976	0.2691	0.6668
Normal Market	0.0255	0.0000	0.1348	0.0008	0.2385	[0.2346,0.2421]	pot-gpd	0.0716	0.0971	0.9993

scenario	mean_pnl_%	std_%	SE_mean_%	VaR99_%	ES99_%	min_%
2008 Crisis	16.41	1.63	0.01	11.24	8.94	-5.93
2010 Flash Crash	11.57	1.00	0.01	8.58	7.43	-0.58
COVID-19	17.99	2.41	0.01	8.95	2.86	-23.86
Normal Market	6.90	0.63	0.00	5.14	4.67	1.92

scenario	P0_raw	SE	KO_rate	SE_KO	ES999	ES_method	tail_margin	ref_margin	P0_final	monitoring_dates
PE Normal (buyout)	0.0814	0.0004	0.3895	0.0015	0.5643	pot-gpd	0.1693	0.0250	0.2756	4
PE Rate Shock (2022-23)	0.1075	0.0005	0.4673	0.0016	0.6623	pot-gpd	0.1987	0.0250	0.3312	4
PE GFC (2008-09)	0.1517	0.0007	0.4898	0.0016	0.7377	pot-gpd	0.2213	0.0250	0.3980	4

buffer	cap_L	maturity_days	P0_raw	se_P0	tail_margin	P0_final	KO_rate	margin_share	buffer_floor_eq13	feasible	score
0.3000	1.0000	30	0.0907	0.0001	0.1664	0.2571	0.2189	0.6471	0.2256	True	0.8660
0.3000	0.5000	30	0.0454	0.0000	0.0832	0.1286	0.2189	0.6471	0.2256	True	0.8660
0.2500	0.5000	30	0.0447	0.0000	0.0834	0.1281	0.2994	0.6508	0.2256	True	0.9502
0.2500	1.0000	30	0.0895	0.0001	0.1668	0.2563	0.2994	0.6508	0.2256	True	0.9502
0.3000	0.5000	60	0.0597	0.0001	0.0974	0.1571	0.3652	0.6201	0.2256	True	0.9853

buffer	cap_L	maturity_days	P0_raw	se_P0	tail_margin	P0_final	KO_rate	margin_share	buffer_floor_eq13	feasible	score
0.3000	1.0000	30	0.1036	0.0001	0.1843	0.2879	0.2608	0.6401	0.2611	True	0.9009
0.3000	0.5000	30	0.0518	0.0001	0.0921	0.1440	0.2608	0.6401	0.2611	True	0.9009
0.3000	0.5000	60	0.0674	0.0001	0.1069	0.1743	0.4098	0.6131	0.2611	True	1.0228
0.3000	1.0000	60	0.1349	0.0003	0.2137	0.3486	0.4098	0.6131	0.2611	True	1.0228
0.3000	0.5000	90	0.0760	0.0002	0.1141	0.1902	0.4855	0.6002	0.2611	True	1.0857

buffer	cap_L	maturity_days	P0_raw	tail_margin	P0_final	KO_rate	margin_share	buffer_floor_eq13	feasible	score
0.3000	1.0000	30	0.0535	0.1180	0.1715	0.0384	0.6880	0.1731	True	0.7264
0.3000	0.5000	30	0.0268	0.0590	0.0858	0.0384	0.6880	0.1731	True	0.7264
0.2500	1.0000	30	0.0535	0.1180	0.1715	0.0832	0.6881	0.1731	True	0.7713
0.2500	0.5000	30	0.0267	0.0590	0.0858	0.0832	0.6881	0.1731	True	0.7713
0.3000	1.0000	60	0.0750	0.1455	0.2205	0.1495	0.6597	0.1731	True	0.8092