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001439678 001__ 1439678
001439678 003__ OCoLC
001439678 005__ 20230309004514.0
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001439678 008__ 210917s2021\\\\sz\a\\\\ob\\\\001\0\eng\d
001439678 019__ $$a1272990349$$a1273974075$$a1282247966$$a1282251779$$a1290108454$$a1290634214$$a1295580965$$a1300797843
001439678 020__ $$a9783030792534$$q(electronic bk.)
001439678 020__ $$a3030792536$$q(electronic bk.)
001439678 020__ $$z9783030792527
001439678 020__ $$z3030792528
001439678 0247_ $$a10.1007/978-3-030-79253-4$$2doi
001439678 035__ $$aSP(OCoLC)1268325448
001439678 040__ $$aYDX$$beng$$erda$$epn$$cYDX$$dGW5XE$$dOCLCO$$dUKMGB$$dN$T$$dUKAHL$$dOCLCO$$dDCT$$dEBLCP$$dLIP$$dOCLCF$$dVT2$$dOCLCQ$$dOCLCO$$dOCL$$dOCLCQ
001439678 049__ $$aISEA
001439678 050_4 $$aHD61$$b.K75 2021
001439678 08204 $$a658.15/5$$223
001439678 1001_ $$aKrishnan, Hari P.,$$d1968-$$eauthor.
001439678 24510 $$aMarket tremors :$$bquantifying structural risks in modern financial markets /$$cHari P. Krishnan, Ash Bennington.
001439678 264_1 $$aCham :$$bPalgrave Macmillan,$$c[2021]
001439678 264_4 $$c©2021
001439678 300__ $$a1 online resource :$$billustrations (chiefly color)
001439678 336__ $$atext$$btxt$$2rdacontent
001439678 337__ $$acomputer$$bc$$2rdamedia
001439678 338__ $$aonline resource$$bcr$$2rdacarrier
001439678 347__ $$atext file
001439678 347__ $$bPDF
001439678 504__ $$aIncludes bibliographical references and index.
001439678 5050_ $$aIntroduction -- Financial networks in the presence of a dominant agent -- Exchange-traded products as a source of network risk -- The VIX "Volmaggedon", with exchange-traded notes destabilizing the market -- Liquidity fissures in the corporate bond markets -- Market makers, stabilizing or disruptive? -- The elephants in the room: banks and the "Almighty" central bank -- Playing defense and attack in the presence of a dominant agent.
001439678 506__ $$aAccess limited to authorized users.
001439678 520__ $$aSince the Global Financial Crisis, the structure of financial markets has undergone a dramatic shift. Modern markets have been "zombified" by a combination of Central Bank policy, disintermediation of commercial banks through regulation, and the growth of passive products such as ETFs. Increasingly, risk builds up beneath the surface, through a combination of excessive leverage and crowded exposure to specific asset classes and strategies. In many cases, historical volatility understates prospective risk. This book provides a practical and wide ranging framework for dealing with the credit, positioning and liquidity risk that investors face in the modern age. The authors introduce concrete techniques for adjusting traditional risk measures such as volatility during this era of unprecedented balance sheet expansion. When certain agents in the financial network behave differently or in larger scale than they have in the past, traditional portfolio theory breaks down. It can no longer account for toxic feedback effects within the network. Our feedback-based risk adjustments allow investors to size their positions sensibly in dangerous set ups, where volatility is not providing an accurate barometer of true risk. The authors have drawn from the fields of statistical physics and game theory to simplify and quantify the impact of very large agents on the distribution of forward returns, and to offer techniques for dealing with situations where markets are structurally risky yet realized volatility is low. The concepts discussed here should be of practical interest to portfolio managers, asset allocators, and risk professionals, as well as of academic interest to scholars and theorists
001439678 588__ $$aDescription based on print version record.
001439678 650_0 $$aFinancial risk management$$xMathematical models.
001439678 650_0 $$aInvestments$$xMathematical models.
001439678 650_0 $$aRisk management.
001439678 650_6 $$aFinances$$xGestion du risque$$xModèles mathématiques.
001439678 650_6 $$aInvestissements$$xModèles mathématiques.
001439678 650_6 $$aGestion du risque.
001439678 655_0 $$aElectronic books.
001439678 7001_ $$aBennington, Ash,$$eauthor.
001439678 77608 $$iPrint version:$$aKrishnan, Hari P., 1968-$$tMarket tremors.$$dBasingstoke : Palgrave Macmillan, 2021$$z9783030792527$$w(OCoLC)1263796263
001439678 852__ $$bebk
001439678 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-79253-4$$zOnline Access$$91397441.1
001439678 909CO $$ooai:library.usi.edu:1439678$$pGLOBAL_SET
001439678 980__ $$aBIB
001439678 980__ $$aEBOOK
001439678 982__ $$aEbook
001439678 983__ $$aOnline
001439678 994__ $$a92$$bISE