Hidden Forces17 Mars 2022

Quantifying Structural Risk in 'Zombified' Markets | Hari Krishnan & Ash Bennington

In Episode 238 of Hidden Forces, Demetri Kofinas speaks with Hari Krishnan (Head of Volatility Strategies at SCT Capital) and Ash Bennington (Senior & Crypto Editor at Real Vision) about their book "Market Tremors: Quantifying Structural Risks in Modern Financial Markets."

Since the Global Financial Crisis, market structure has undergone a dramatic shift. A combination of Central Bank policy, disintermediation of commercial banks through regulation, and the growth of passive products such as ETFs have 'zombified' markets. Risk has increasingly built 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 conversation is meant to expose you to some of the ideas behind Market Tremors, which provides a practical and wide-ranging framework for dealing with the credit, positioning, and liquidity risk that investors face in modern markets. Ash and Hari draw on 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 offer techniques for dealing with situations where markets are structurally risky yet realized volatility is low.

You can access the transcript and intelligence report to this week's conversation by going directly to the episode page at HiddenForces.io and clicking on "premium extras." All subscribers gain access to our premium feed, which can be easily added to your favorite podcast application.

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Producer & Host: Demetri Kofinas

Editor & Engineer: Stylianos Nicolaou

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Episode Recorded on 03/14/2022

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