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Market Tremors
Quantifying Structural Risks in Modern Financial Markets
Taschenbuch von Ash Bennington (u. a.)
Sprache: Englisch

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Beschreibung
Since the Global Financial Crisis, the structure of financial markets has undergone a dramatic shift. Modern markets have been ¿zombified¿ by a combination of Central Bank policy, disintermediation of commercial banks through regulation, and the growth of passive products such as ETFs. Increasingly, risk builds up beneath the surface, through a combination of excessive leverage and crowded exposure to specific asset classes and strategies. In many cases, historical volatility understates prospective risk.

This book provides a practical and wide ranging framework for dealing with the credit, positioning and liquidity risk that investors face in the modern age. The authors introduce concrete techniques for adjusting traditional risk measures such as volatility during this era of unprecedented balance sheet expansion.

When certain agents in the financial network behave differently or in larger scale than they have in the past, traditional portfolio theory breaks down. It can no longer account for toxic feedback effects within the network. Our feedback-based risk adjustments allow investors to size their positions sensibly in dangerous set ups, where volatility is not providing an accurate barometer of true risk.

The authors have drawn from the fields of statistical physics and game theory to simplify and quantify the impact of very large agents on the distribution of forward returns, and to offer techniques for dealing with situations where markets are structurally risky yet realized volatility is low. The concepts discussed here should be of practical interest to portfolio managers, asset allocators, and risk professionals, as well as of academic interest to scholars and theorists.
Since the Global Financial Crisis, the structure of financial markets has undergone a dramatic shift. Modern markets have been ¿zombified¿ by a combination of Central Bank policy, disintermediation of commercial banks through regulation, and the growth of passive products such as ETFs. Increasingly, risk builds up beneath the surface, through a combination of excessive leverage and crowded exposure to specific asset classes and strategies. In many cases, historical volatility understates prospective risk.

This book provides a practical and wide ranging framework for dealing with the credit, positioning and liquidity risk that investors face in the modern age. The authors introduce concrete techniques for adjusting traditional risk measures such as volatility during this era of unprecedented balance sheet expansion.

When certain agents in the financial network behave differently or in larger scale than they have in the past, traditional portfolio theory breaks down. It can no longer account for toxic feedback effects within the network. Our feedback-based risk adjustments allow investors to size their positions sensibly in dangerous set ups, where volatility is not providing an accurate barometer of true risk.

The authors have drawn from the fields of statistical physics and game theory to simplify and quantify the impact of very large agents on the distribution of forward returns, and to offer techniques for dealing with situations where markets are structurally risky yet realized volatility is low. The concepts discussed here should be of practical interest to portfolio managers, asset allocators, and risk professionals, as well as of academic interest to scholars and theorists.
Über den Autor

Hari P. Krishnan
is head of volatility strategies at SCT Capital in New York. He was formerly a portfolio manager at Doherty Advisors in New York, a fund manager at CrossBorder Capital in London, an executive director at Morgan Stanley focused on asset allocation, and an options trading strategist for a market-making firm at the CBOE. He was a research scientist at the Columbia Earth Institute after receiving a PhD in applied math from Brown University and a BA in math from Columbia University.

Ash Bennington
is Senior Editor & Crypto Editor at Real Vision, where he covers finance, investing, and economics, with a particular focus on blockchain and digital assets. Prior to joining Real Vision, he ran CoinDesk's market coverage. Ash is a former CNBC reporter, and served as Editor-in-Chief of Nouriel Roubini's Macro Economics Blog 'Roubini EconoMonitor with Ash Bennington'. His work has appeared in Business Insider, The Christian ScienceMonitor, ZeroHedge, The Observer, and Yahoo Finance.

Zusammenfassung
Provides a consistent framework for dealing with credit and positioning risk
Includes practitioner examples and techniques for adjusting traditional risk measures
Applies Mean Field Theory to reduce the dimensionality of the problem dramatically
Inhaltsverzeichnis

Chapter 1: Introduction.- Chapter 2: Financial Networks in the Presence of a Dominant Agent.- Chapter 3: Exchange-Traded Products as a Source of Network Risk.- Chapter 4: The VIX "Volmaggedon", with Exchange-Traded Notes Destabilizing the Market.- Chapter 5: Liquidity Fissures in the Corporate Bond Markets.- Chapter 6: Market Makers, Stabilizing or Disruptive?.- Chapter 7: The Elephants in the Room: Banks and the "Almighty" Central Bank.- Chapter 8: Playing Defense and Attack in the Presence of a Dominant Agent.

Details
Erscheinungsjahr: 2021
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Inhalt: xv
248 S.
10 s/w Illustr.
104 farbige Illustr.
248 p. 114 illus.
104 illus. in color.
ISBN-13: 9783030792527
ISBN-10: 3030792528
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Bennington, Ash
Krishnan, Hari P.
Auflage: 1st ed. 2021
Hersteller: Springer International Publishing
Springer International Publishing AG
Maße: 235 x 155 x 15 mm
Von/Mit: Ash Bennington (u. a.)
Erscheinungsdatum: 15.09.2021
Gewicht: 0,406 kg
Artikel-ID: 120102765
Über den Autor

Hari P. Krishnan
is head of volatility strategies at SCT Capital in New York. He was formerly a portfolio manager at Doherty Advisors in New York, a fund manager at CrossBorder Capital in London, an executive director at Morgan Stanley focused on asset allocation, and an options trading strategist for a market-making firm at the CBOE. He was a research scientist at the Columbia Earth Institute after receiving a PhD in applied math from Brown University and a BA in math from Columbia University.

Ash Bennington
is Senior Editor & Crypto Editor at Real Vision, where he covers finance, investing, and economics, with a particular focus on blockchain and digital assets. Prior to joining Real Vision, he ran CoinDesk's market coverage. Ash is a former CNBC reporter, and served as Editor-in-Chief of Nouriel Roubini's Macro Economics Blog 'Roubini EconoMonitor with Ash Bennington'. His work has appeared in Business Insider, The Christian ScienceMonitor, ZeroHedge, The Observer, and Yahoo Finance.

Zusammenfassung
Provides a consistent framework for dealing with credit and positioning risk
Includes practitioner examples and techniques for adjusting traditional risk measures
Applies Mean Field Theory to reduce the dimensionality of the problem dramatically
Inhaltsverzeichnis

Chapter 1: Introduction.- Chapter 2: Financial Networks in the Presence of a Dominant Agent.- Chapter 3: Exchange-Traded Products as a Source of Network Risk.- Chapter 4: The VIX "Volmaggedon", with Exchange-Traded Notes Destabilizing the Market.- Chapter 5: Liquidity Fissures in the Corporate Bond Markets.- Chapter 6: Market Makers, Stabilizing or Disruptive?.- Chapter 7: The Elephants in the Room: Banks and the "Almighty" Central Bank.- Chapter 8: Playing Defense and Attack in the Presence of a Dominant Agent.

Details
Erscheinungsjahr: 2021
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Inhalt: xv
248 S.
10 s/w Illustr.
104 farbige Illustr.
248 p. 114 illus.
104 illus. in color.
ISBN-13: 9783030792527
ISBN-10: 3030792528
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Bennington, Ash
Krishnan, Hari P.
Auflage: 1st ed. 2021
Hersteller: Springer International Publishing
Springer International Publishing AG
Maße: 235 x 155 x 15 mm
Von/Mit: Ash Bennington (u. a.)
Erscheinungsdatum: 15.09.2021
Gewicht: 0,406 kg
Artikel-ID: 120102765
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