Systemic Liquidity Risk and Bipolar Markets

Clive M. Corcoran 지음

Bloomberg Press 2012년 11월 26일 출간

작품소개

책소개

The dramatic and well chronicled crisis of 2007/8 marked a watershed moment for all stakeholders in global capital markets. In the aftermath, financial markets have become even more tightly coupled as correlations in returns across multiple asset classes have been at historically elevated levels. Investors and fund managers are, to a much larger degree than previously and often much more than they realize, subject to the risk of severe wealth destruction. The ultimate hazard, which is not adequately characterized by the widely touted notion of tail risk, is the systemic risk which arises when liquidity in markets completely evaporates. Not only did this happen in the second half of 2008, but it has been repeated episodically since then n- most notably in May 2010, in an incident known as the Flash Crash, and in the fall of 2011 when correlations were at historically elevated levels.Conventional asset allocation tools and techniques have failed to keep apace with the changing financial landscape which has emerged since 2008. In addition to the preponderance of algorithmic trading and the associated changes in the liquidity characteristics of financial markets, a new paradigm of risk on/risk off asset allocation has emerged. Risk on/risk off is a widely adopted style of trading and macro allocation strategy where positions are taken in several closely aligned asset classes depending on the prevailing sentiment or appetite for risk. The consequences of the day to day (and intraday) switching between either a risk on or risk off tactical strategies poses significant new challenges to investors who are still making investment decisions with outmoded notions from traditional asset allocation theory.How can one cushion the impact of systemically threatening events when the ability to exit financial instruments becomes almost non existent? How can one trust the integrity of financial models and orthodox macro financial theory w

목차

Foreword ix1 Introduction 11.1 How Helpful is the Notion of Tail Risk? 101.2 Dichotomies and Ambiguities 141.3 Trust and Solvency are All or Nothing Dichotomies 141.4 The Asymmetry of Private Gain and Public Losses 182 Cross-Sectional Asset Correlations 272.1 Lessons for Risk Management 352.2 Correlations and Volatility 362.3 Increased Asset Correlations 422.4 Stress Regression Analysis 452.5 Heat Maps Illustrate the Binary Nature of Risk On/Risk Off 493 The Changing Character of Financial Markets 613.1 Market Returns Do Exhibit Memory 663.2 Hurst Coefficient 703.3 Hurst Values Reached Extremes During 2008 724 The Flash Crash 814.1 Market Microstructure 864.2 Predator Prey Dynamics 884.3 Computer Simulations of Market Behavior 905 Detecting Mini Bubbles with the VPIN Metric 975.1 Adverse Selection as the Basis for the VPIN Method 985.2 The Role of the Japanese Yen in the Flash Crash 1106 Foreign Exchange and the Carry Trade 1196.1 Primer on the Forex Market 1206.2 The FX Carry Trade 1226.3 Does the Carry Trade Pose a Risk to the Financial System? 1237 The Enigmatic Performance of the Japanese Yen 1337.1 The Nikkei 225 and the Yield on the US Treasury Ten-Year Note 1378 The Aussie/Yen Connection 1498.1 The Role of Aussie/Yen in Inter-Market Strategies 1579 Precursors to Illiquidity 1659.1 Using Heat Maps for FX and Other Asset Correlations 16610 Mainstream Financial Economics Groping Towards a New Paradigm 17510.1 Disappearance of Income 17610.2 Vendor Financing 18310.3 Global Imbalances and the Martin Wolf Thesis 18310.4 Project Evaluation and the Cost of Capital 18610.5 Towards a New Paradigm in Economic Thinking 18710.6 Rational an

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저자(글) Clive M. Corcoran

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Clive Corcoran has been an independent trader, on both sides of the Atlantic, for more than 20 years. In recent years he has been engaged as a course developer and tutor, providing international executive education workshops and individual mentoring. He is also an FSA registered adviser and provides wealth management services and investment advice to private clients. As an author he has writtenLong/Short Market Dynamics: Trading Strategies for Today's Markets(Wiley, 2007) and several titles for the Chartered Institute for Securities and Investment (CISI). He has been a regular analyst/contributor to CNBC Europe and other broadcast outlets, runs executive education workshops in conjunction with Euromoney, ICMA and Thomson Reuters, and has been a featured speaker at international trading and investment expos.