Sovereign debt vulnerability and systemic risk

Posted on 10. mai, 2010 by Jean Jacques Ohana in Weekly Focus

The chronicle of the financial events of the last three months has been crystal clear:
A global bubble on all risky assets developed since the unprecedented accommodative policy set up by Central Banks and Governments. From a monetary point of view, global rates were set around 0% and liquidity injections in the US have not been [...]

The Greek bailout: a poker game between Europe and debt holders

Posted on 03. mai, 2010 by Jean Jacques Ohana in Weekly Focus

The European countries announced with great pomp that the giant rescue plan for Greece has been finalized. The plan consists in 110 Bil EUR endorsed by the European countries for 80 Bil and by the IMF for the remaining part. The loans will be freed as soon as next week before the redemption of the [...]

Deciphering carry trades

Posted on 12. fév, 2010 by Jean Jacques Ohana in Weekly Focus

Carry trades have been made popular in the past decade due to the stellar performance registered in this type of strategy. Basically, it consists in borrowing in low yield currencies and investing in high yield currencies, in order to exploit interest rates differentials between currencies.
What is more striking is the diverse business interest in this [...]

Commodities network and investors’ behavior

Posted on 02. fév, 2010 by Jean Jacques Ohana in Weekly Focus

Riskelia has analyzed the commodities network since 2000. The graph is based on the correlations between the diverse components of the commodities asset classes representing base metals, precious metals, agricultural and energy markets and the dollar.
When a correlation in a pair of variables stands between 0.25 and 0.5, the two variables are linked by a [...]

Le risque systémique

Posted on 30. nov, 2009 by Jean Jacques Ohana in Weekly Focus

Le risque systémique désigne la possibilité d’explosion endogène du système financier contaminant toutes les classes d’actifs simultanément : marchés actions, marchés du crédit et du financement interbancaire, matières premières de tous les secteurs, hedge funds puis par ricochet le cycle industriel.
Depuis 2005, la globalisation des échanges s’est traduite par des interconnexions de plus en plus fortes [...]