Market Tremors

Quantifying Structural Risks in Modern Financial Markets

Authors: Krishnan, Hari, Bennington, Ash

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  • 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
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eBook 37,44 €
price for Spain (gross)
  • ISBN 978-3-030-79253-4
  • Digitally watermarked, DRM-free
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Softcover 46,79 €
price for Spain (gross)
  • ISBN 978-3-030-79252-7
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  • Institutional customers should get in touch with their account manager
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  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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About this book

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.

About the authors

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 Science Monitor, ZeroHedge, The Observer, and Yahoo Finance.

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook 37,44 €
price for Spain (gross)
  • ISBN 978-3-030-79253-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 46,79 €
price for Spain (gross)
  • ISBN 978-3-030-79252-7
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Market Tremors
Book Subtitle
Quantifying Structural Risks in Modern Financial Markets
Authors
Copyright
2021
Publisher
Palgrave Macmillan
Copyright Holder
The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG
eBook ISBN
978-3-030-79253-4
DOI
10.1007/978-3-030-79253-4
Softcover ISBN
978-3-030-79252-7
Edition Number
1
Number of Pages
XV, 248
Number of Illustrations
10 b/w illustrations, 104 illustrations in colour
Topics