Practitioner series: How to measure the proximity to a market crash
Tue 12 Mar 19 at BNY Mellon, London

How do you assess the vicinity of a major market crash? Do we have the right conceptual framework and tools to monitor the build-up of systemic risks and the approaching of a seismic shift? How can we go about quantifying market fragility and inherent vulnerability of the financial system?

Francesco Filia, CEO of Fasanara Capital, will explain his (work-in-progress) research, along the way of truth-seeking within heavily manipulated markets (‘fake markets’), aiming at framing systemic risks in new inventive ways, more in tune with the transformational times we live in.

Francesco will cover the following;

  • How the morphing structure of the market is the driver of a simultaneous overvaluation for bonds and equities (twin bubbles) which has no match in modern financial history
  • Existing risk management frameworks and the systemic risks that follow
  • How we can use the disciplines of complexity theory for clues on how to update existing frameworks
  • The quest for a quantitative indicator of system-level market fragility
  • How using the System Resilience Indicator (SRI) as a feedback measure helps see how over-extended the market instability has gotten to in recent years

Please note if you require special assistance or have specific access requirements, please contact the events team at events@cfauk.org.

Speakers
Francesco Filia
CEO, Fasanara Capital


Francesco heads all portfolio management and research related activities at Fasanara Capital ltd. He also spearheads the identification and implementation of all relevant portfolio tail hedging strategies.

Prior to co-founding Fasanara, Francesco was Managing Director and EMEA Head of the MidCaps & Principal Investors group at Bank of America Merrill Lynch. In his role, Francesco directed BAML operations across Europe, Middle East and Africa with responsibilities on multi- strategy, multi-assets portfolio solutions.

Prior to joining BAML in 2000, Francesco was a research analyst at JP Morgan Securities, where he published several research white papers covering areas such as derivatives modelling and fixed income / volatility strategies. He started his career in JP Morgan in 1997. Francesco is a graduate of Bocconi University in Milan and a scholar of Erasmus Universiteit Rotterdam.

When and where?

Date
Tuesday 12 March 19

Time
Registration: 18:00
Event: 18:30 - 19:30

Location
BNY Mellon, 200, 160 Queen Victoria St, London EC4V 4ED
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Nearest tube station
St Paul's/Mansion House
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Price
Member - £0
Non-member - £50
CPD

This is eligible for 1 CPD hour