How to immunize against the coming euro banks crisis?

Posted on 27. Apr, 2011 by Jean Jacques Ohana in Weekly Focus

The euro sovereign crisis is in fact primarily a banking one (see Figure 1). And due to the banks’ interconnectedness, bank runs have a high propensity to degenerate into global liquidity crises.
Our goal in this Weekly Focus is to construct a Nassim Taleb’s type “antifragile” strategy, which would benefit from the imposition of haircuts to [...]

Some dark clouds are looming…but the shorts may have a hard time

Posted on 19. Apr, 2011 by Jean Jacques Ohana in Weekly Focus

Significant downsides on equities, commodities and carry trades have been observed since the beginning of the last week, challenging the Radar’s main themes.
As for now, our indicators still point to an environment favorable to risk taking, at least in the short term:

The risk aversion stays very low and reflects a positive environment for cyclical assets. [...]

Why will the yen depreciate?

Posted on 12. Apr, 2011 by Christophe Lerolle in Weekly Focus

The yen is rated among the most bearish recommendation against a basket of G10 currencies and there are three main reasons why yen is likely to depreciate against the other currencies:

Risk Aversion has markedly evolved towards negative territory which bodes well for risk taking. In particular, figure 3 shows that filtering the short yen when [...]

Can the euro zone climb the wall of worries?

Posted on 07. Apr, 2011 by Jean Jacques Ohana in Weekly Focus

The EUR/USD strong and steady rise to 1.42 may seem strange as the political risk in the euro zone has reached a climax.

Indeed, Ireland and Greece have been supposedly rescued but the rates they pay to European Financial Stability Facility are too high (resp. 5.8% and 5%) to help them curb the rise of their [...]