Market Tremors
Market Tremors provides a practical and wide-ranging framework for dealing with the credit, positioning, and liquidity risk that investors face in the modern age. It introduces concrete techniques for adjusting traditional risk measures such as volatility during this era of unprecedented balance sheet expansion. 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.
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.