Carol Alexander (Univ. of Sussex): "Financial Risks from Excessive Leveraging in Crypto Markets" скачать в хорошем качестве

Carol Alexander (Univ. of Sussex): "Financial Risks from Excessive Leveraging in Crypto Markets"

Abstract: This talk describes two working papers with a common theme: the market, credit and systemic risks created by excessive leverage-taking in crypto. The first (theoretical) paper models the rehypothecation of ether in the liquid staking and restaking activities which dominate the total value locked in Defi. The second, (empirical) paper examines the leverage that is permissible on centralised crypto exchanges, and the liquidation cascades caused by automated clearing mechanisms which can bankrupt individual users and precipitate flash crashes in the prices of bitcoin, ether and many other crypto assets. Speaker Bio: Professor Carol Alexander, University of Sussex Business School and Exponential Science Foundation Carol Alexander is an expert in financial markets, especially risk analysis, crypto asset and derivatives markets, financial market microstructure, pricing and hedging financial instruments and volatility analysis. She has a PhD in Algebraic Number Theory from the University of Sussex, an MSc in Mathematical Economics and Econometrics from the London School of Economics, and a BSc in Mathematic and Experimental Psychology from the University of Sussex. She has published over eighty research papers in academic journals spanning subjects from algebra, game theory, economics, econometrics, and finance. Full curriculum vitae and details of publications can be found at www.coalexander.com. She has a dual career in industry and academia and is currently Professor of Finance at the University of Sussex and Finance Research Council for the Exponential Science Foundation. She also edited the Journal of Banking and Finance for 10 years. She is the author of the four-volume textbook Market Risk Analysis (Wiley, 2009) which has been required reading for several financial risk management qualifications for many years. Her latest book is an edited volume on Corruption and Fraud in Financial Markets (Wiley, 2020). More than twenty years ago Carol spearheaded the introduction of professional risk management qualifications, as chair of the Academic Advisory Council, then Chair of the Board of the Professional Risk Managers International Association. She has designed and implemented mathematical models for risk assessment, margin requirements, pricing, trading, and hedging for many exchanges, asset managers and banks such as New York Stock Exchange, Intercontinental Exchange, Credit Agricole Asset Management and the FTX.US Exchange. Carol has held corporate roles as a Director and Head of Market Risk Modelling for Nikko Securities; as Academic Director of Algorithmics Inc., and Risk Research Advisor for SAS software. She also acts as a financial market expert witness. She currently sits on several academic and practitioner advisory boards including the Quality Assurance Agency (Finance), the Fields Institute Centre for Financial Industries, the Louis Bachelier prize committee for Mathematical Finance, the Philip Leverhulme prize committee for Economics, and the FT Wilshire Digital Assets Advisory Group. She appears regularly in the media, most recently about crypto asset markets.