Hedge Fund CIO: “Want To Make A Grown Nerd Cry? Run A 500% Rate Increase Through His Risk Model”

August is over, which means that Eric Peters, the CIO of One River Asset Management, is back to doing what he is so very good at: distilling the week’s events and latest financial and economic trends into pithy, one-paragraph aphorisms. Without further ado, here is an anecdotal excerpt from his latest weekend notes.
Scary Movie
I love movies. Scary ones especially. Keep your happy endings, give me chainsaws. Meat hooks.
I’ll never forget ERM in 1992. That was my first real snuff flick as a Lehman prop trader. The Italians never stood a chance in the film, they never do. Show me an Italian who can resist a dark woodshed and I’ll show you a hero in a hockey mask.
At least the Swedes put up a fight in the flick. Their central bankers raised overnight rates to 500%. Want to make a grown nerd cry? Run that interest rate through his risk model. But of course, not a single propeller-head imagined such a monster.

This post was published at Zero Hedge on Sep 3, 2017.