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Market Tremors
Af: Hari P. Krishnan, Ash Bennington Engelsk Paperback
SPAR
kr 117
Market Tremors
Af: Hari P. Krishnan, Ash Bennington Engelsk Paperback

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.

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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.

Produktdetaljer
Sprog: Engelsk
Sider: 248
ISBN-13: 9783030792527
Indbinding: Paperback
Udgave:
ISBN-10: 3030792528
Kategori: Risikovurdering
Udg. Dato: 15 sep 2021
Længde: 18mm
Bredde: 155mm
Højde: 235mm
Oplagsdato: 15 sep 2021
Forfatter(e) Hari P. Krishnan, Ash Bennington


Kategori Risikovurdering


Sprog Engelsk


Indbinding Paperback


Sider 248


Udgave


Længde 18mm


Bredde 155mm


Højde 235mm


Udg. Dato 15 sep 2021


Oplagsdato 15 sep 2021

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