Explosive Volatility: Hidden Risks and 'Zombified' Markets

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Explosive Volatility: Hidden Risks and ‘Zombified’ Markets

Dr. Hari P. Krishnan, Head of Volatility Strategies at SCT Capital Management, discusses why he came to the conclusion that the financial markets were ‘zombified’, agent-based risks, the moments in his career that had the most impact, and his advice to professionals starting their career in quant finance.

Tuesday 7 December 2021

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Podcast Description

QuantSpeak host, Dan Tudball, is joined by Dr. Hari P. Krishnan, Head of Volatility Strategies at SCT Capital Management, to discuss why he came to the conclusion that the financial markets were ‘zombified’, agent-based risks, the moments in his career that had the most impact, and his advice to professionals starting their career in quant finance.

Topics & Timestamps

[00:00 - 01:47] Guest Introduction: Hari Krishnan and "Market Tremors"

[01:47 - 02:20] Origins of “Zombified” Markets

[02:20 - 03:33] Carry Strategies, Leverage, and Volatility Suppression

[03:34 - 04:51] Volatility Suppression and the Risk-On Trade

[04:51 - 06:33] Agent-Based Modeling: History and Recent Acceptance

[06:33 - 10:08] Network Risk, Endogeneity, and VIX Volmageddon Case Study

[10:08 - 11:58] Volatility as Risk, Commoditization, and Market Abstraction

[11:58 - 16:15] Mean Field Theory, Major Agents, and Adaptive Risk Models

[16:15 - 17:21] Modeling Whales and Forward-Looking Risk Distributions

[17:21 - 19:13] Early Career Reflections and Experience in Options Markets

[19:13 - 21:21] Career Trajectory, Writing, and Philosophy on Volatility

[21:21 - 23:01] Motivations, Career Choices, and Applied Mathematics

[23:01 - 24:53] Career Development and Professional Advice

[24:53 - 27:11] Networking, Industry Connections, and Collaboration

[27:12 - 30:09] New Frontiers: Crypto, DeFi, and Derivatives Pricing Paradigm Shift

[30:09 - 32:59] Market Microstructure, ETFs, and Causality in Markets

[33:00 - 34:51] Final Thoughts: Risk Targeting, Systemic Instability, and the Book’s Message

[34:51 - 35:10] Conclusion.

Disclaimer

Podcasts are for informational purposes only and provided “as is” without any representation or warranty from Fitch Learning of any kind. Comments or statements expressed by speakers may not be those of the Fitch Learning. Fitch Learning is not providing advice or recommendations. Fitch Learning, its directors, officers, or employees do not accept any liability for any loss arising from the use of information.