The Risks of Trading on Centralized Crypto Exchanges
Carol ALEXANDER (University of Sussex)
26 January 2023 @ 18:00
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Abstract
The collapse of the FTX exchange in November 2022 and the ensuing contagion which has bankrupted several other centralised crypto firms highlights the extraordinary operational, market and credit risks faced by crypto investors. This seminar draws on my previous research on crypto markets to trace an important learning curve for finance professionals seeking to diversify into such a risky environment, and to emphasise the urgent need for regulation of the entire crypto ecosystem. We focus on the risks to retail and institutional investors who trade on the so-called “self-regulated” centralized crypto exchanges which are not just an electronic order book platform. They also operate as stablecoin brokers, crypto asset custodians and their own central counterparties. We also examine the pricing, hedging and trading of the unique derivative products they offer, including perpetual futures and inverse options.
About the speaker
Carol Alexander is an expert in crypto asset and derivatives markets, financial risk analysis, high-frequency data analysis, blockchains, pricing and hedging financial instruments, volatility analysis, investment strategies, benchmarking and portfolio management. She has a dual career in industry and academia and is currently Professor of Finance at the University of Sussex and Visiting Professor at Peking University Business School. She has also edited the Journal of Banking and Finance since 2013. Throughout her corporate and academic careers Carol has designed and implemented mathematical models for pricing, trading, hedging and risk assessment for a wide range of asset management and investment banking clients, including some of the largest global exchanges such as the New York Stock Exchange, the Intercontinental Exchange and the FTX.US Exchange. She is the author of the best-selling textbook “Market Models” and of the four-volume textbook series Market Risk Analysis. Her latest textbook “Corruption and Fraud in Financial Markets” was edited with Douglas Cumming. In 2022 was voted as a top 10 Women Quants on Wall Street, the top 10 Quant Professors and the top 10 Crypto Voices, in polls conducted by Rebellion Research.
She has held corporate roles as a Director and Head of Market Risk Modelling for Nikko Securities; as a Director of Algorithmics Inc., the Toronto-based firm which provided risk modelling software to financial institutions and banks globally; and as a Bond Analyst for Phillips & Drew, City of London. She is consulting expert witness for Richards Butler, Fideres Partners and White and Case. Carol is a member of the Bachelier Prize Committee, the Leverhulme Prize in Economics Committee, and she is on the Steering Committee for the Centre for Financial Industries at the Fields Institute and on various advisory committees for research councils and industry associations. She has a BSc in Mathematics with Experimental Psychology and a PhD in Algebraic Number Theory from the University of Sussex, and an MSc in Mathematical Economics and Econometrics from the London School of Economics.
Venue
Citi Stirling Square, 5-7 Carlton Gardens, London SW1Y 5AD
The seminar begins at 6:00 PM. Seating cannot be guaranteed for late arrivals.
Registration
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