Capital Protection: TradFi vs. DeFi

​Fiat is bank credit.
We'll see how this makes future money essentially fungible with present money ; and what needs to be true for this equivalence to hold in DeFi.

​We'll price a simple capital protected note with call upside, and provide economics for a product popular with Singaporean private banks.

​A counter intuitive pricing will illustrate model risk, and how banks compete in a race to the bottom.

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​Background

​I hold an MSc in financial maths from Ecole Polytechnique "X" and EPFL, and have professionally traded derivatives on hedge and mutual funds between 2006 and 2019. Focus on risk management kept my desk out of trouble in 2008 in spite of LEH and Madoff.

​Disclaimer

​This presentation will be purely theoretical and an invitation to think about how to transpose some popular product features to a non fiat world. I am a TradFi expert, and a DeFi novice. I'll welcome a bilateral discussion on technical matters. There won't be any financial promotion of any kind.