Titlebook: Market Tremors; Quantifying Structur Hari P. Krishnan,Ash Bennington Book 2021 The Editor(s) (if applicable) and The Author(s), under exclu

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Liquidity Fissures in the Corporate Bond Markets,US high yield corporate bond markets, in the presence of majority agents. The majority agents are authorized participants (APs) in bond ETFs and to a lesser extent, investors in certain mutual funds. Beyond a certain size, bond market liquidity can no longer support the ETF arbitrage mechanism. This

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,The Elephants in the Room: Banks and the “Almighty” Central Bank,eaningful . in their size can have a major impact on asset prices. We will find that, in the median case at least, Fed balance sheet expansion does have a stabilizing effect on credit spreads. This is not to imply that Central Banks have the power to eliminate extreme event risk. The Fed “put” might

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Hari P. Krishnan,Ash BenningtonProvides 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 t

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Introduction,As we look out across the spectrum of global markets in early 2021, there are no visible signs of overt distress. In fact, we see the opposite: many markets appear “Zombified”—saddled with astronomical levels of public and private debt as yields remain pinned to the zero bound.

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https://doi.org/10.1007/978-3-030-79253-4financial market dynamics; Central Bank Quantitative Easing; risk management models; credit and positio

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Exchange-Traded Products as a Source of Network Risk,he benchmark, dealers in the product can turn into Dominant Agents, distorting the distribution of returns. We will also investigate levered products, showing that outcomes can be disappointing in choppy markets.