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Episode TimeStamps:
02:20 – Introduction to Mika Kastenholz
09:25 – Working with econophysics
10:52 – Finding the perfect size
12:05 – Mika's view on naive sizing
13:19 – The macro perspective
16:27 – Depressed commodities and the inverted yield curve
18:46 – A changing environment
21:01 – The impact of post 2008 regulations
23:29 – Hedging the autocallable structures
29:30 – Mika's approach to convertible bond arbitrage
31:42 – Swing options – a relic of the past?
33:30 – Has the depth of the markets decreased?
35:31 – How does cross margining work today?
36:51 – What happens with a large client trade?
38:59 – Dealing with regulations
42:51 – Are banks too focused on short-term dynamic risk management?
45:48 – What if every bank had the same risk limits?
48:15 – Are the banks aware of network effects?
50:13 – Is the complex systems push overstated?
54:09 – An anomaly that could be exploited?
57:06 – A confused market
59:19 – The outlook for the term premia
01:01:10 – Key takeaways from Niels