Market tremors : quantifying structural risks in modern financial markets / Hari P. Krishnan, Ash Bennington.
Krishnan, Hari P., 1968- author.; Bennington, Ash, author.
2021
HD61 .K75 2021
Available Online

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Title Market tremors : quantifying structural risks in modern financial markets / Hari P. Krishnan, Ash Bennington.
Author Krishnan, Hari P., 1968- author.
ISBN 9783030792534 (electronic bk.)
3030792536 (electronic bk.)
9783030792527
3030792528
DOI https://doi.org/10.1007/978-3-030-79253-4
Published Cham : Palgrave Macmillan, [2021]
Copyright ©2021
Language English
Description 1 online resource : illustrations (chiefly color)
Other Standard Identifiers 10.1007/978-3-030-79253-4 doi
Call Number HD61 .K75 2021
Dewey Decimal Classification 658.15/5
Summary 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
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
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Source of Description Description based on print version record.
Added Author Bennington, Ash, author.
Available in Other Form Market tremors.
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Introduction
Financial networks in the presence of a dominant agent
Exchange-traded products as a source of network risk
The VIX "Volmaggedon", with exchange-traded notes destabilizing the market
Liquidity fissures in the corporate bond markets
Market makers, stabilizing or disruptive?
The elephants in the room: banks and the "Almighty" central bank
Playing defense and attack in the presence of a dominant agent.

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