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Quantifying Fissures in the US High Yield Market 
27 March 2019, London and Online

This talk follows on from the 2018 CQF Institute talk on agent-based risk and the VIX. First, we will review an existing model that connects Central Bank balance sheet size to the performance of risky assets. We then quantify dangers arising from a mismatch between the liquidity of high yield bond ETFs and the underlying bonds themselves. This may generate a chain reaction of fire sales, from EFT market makers to mutual funds and finally long-term bond holders. 
This analysis differs from standard approaches as it is forward looking and quantifies the relationship between different agents in the high yield market.

Hari P. Krishnan is a PM at Doherty Advisors, an award-winning volatility hedge fund in New York. He was previously a fund manager at CrossBorder Capital in London and was an executive director and co-head of alternative asset allocation at Morgan Stanley (Chicago and London). Hari has also worked as an options trading strategist for a market-making firm at the CBOE and as a senior economist at the Chicago Board of Trade. He received a PhD in applied math from Brown University and was a research scientist at Columbia University before moving into finance. Hari is the author of The Second Leg Down, which provides strategies for protecting capital after an initial sell off, published by Wiley in 2017.


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