Speaking about market risk

Fed's Kaplan speaking on market risk says:

  • I am very concerned about the percentage of trading in markets, or very mindful I should say, about the trading in markets that is quant driven or machine driven, especially in the last hour or 2 of trading
  • risk parity and other strategies like that are creating dangers
  • they are linear on the way up, but exponential on the way down
  • I worry about the growth in AI and machine learning are speeding up and may be creating more leverage than we think

Kaplan is speaking at a financial markets conference on Amelia Island, Florida