Our guest Mika Kastenholz shares his insights running a global, cross-asset class macro trading business within a major investment bank in this episode. We learn about potential volatility mismatches in the equity index and fixed income markets, distortions in the yield curve caused by regulatory changes, and a general decline in the appetite for risk taking in the banking sector post-2008. Mika also discusses the viability of crisis prediction using quantitative models, and positioning risk in the convertible bond market. This episode offers a rare perspective into the way a major sell side player thinks about risk and opportunity.

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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...

GM44: Insights From Inside Credit Suisse ft. Mika Kastenholz

Top Traders Unplugged

GM44: Insights From Inside Credit Suisse ft. Mika Kastenholz