GM44: Insights From Inside Credit Suisse ft. Mika Kastenholz

Our guest Mika Kastenholz shares his insights running a global, cross-asset class macro trading business within a major investment bank in this episode. We learn about potential volatility mismatches in the equity index and fixed income markets, distortions in the yield curve caused by regulatory changes, and a general decline in the appetite for risk taking in the banking sector post-2008. Mika also discusses the viability of crisis prediction using quantitative models, and positioning risk in the convertible bond market. This episode offers a rare perspective into the way a major sell side player thinks about risk and opportunity. ----- 50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE ----- Follow Niels on Twitter , LinkedIn , YouTube or via the TTU website . IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here . And you can get a free copy of my latest book “ Ten Reasons to Add Trend Following to Your Portfolio ” here . Learn more about the Trend Barometer here . Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Follow Hari on Twitter . Follow Mika on LinkedIn. Episode TimeStamps: 02:20 - Introduction to Mika Kastenholz 09:25 - Working with econophysics 10:52 - Finding the perfect size 12:05 - Mika's view on naive sizing 13:19 - The macro perspective 16:27 - Depressed commodities and the inverted yield curve 18:46 - A changing environment 21:01 - The impact of post 2008 regulations 23:29 - Hedging the autocallable structures 29:30 - Mika's approach to convertible bond arbitrage 31:42 - Swing options - a relic of the past? 33:30 - Has the depth of the markets decreased? 35:31 - How does cross margining work today? 36:51 - What happens with a large client trade? 38:59 - Dealing with regulations 42:51 - Are banks too focused on short-term dynamic risk management? 45:48 - What if every bank had the same risk limits? 48:15 - Are the banks aware of network effects? 50:13 - Is the complex systems push overstated? 54:09 - An anomaly that could be exploited? 57:06 - A confused market 59:19 - The outlook for the term premia 01:01:10 - Key takeaways from Niels Copyright © 2025 – CMC AG – All Rights Reserved ---- PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey: 1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here 2. Daily Trend Barometer and Market Score One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here 3. Other Resources that can help you And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here Privacy Policy Disclaimer