Salman Hussein Hasham
Profile
Profile
I am the Associate Director Trader for FICC Structured Products at Scotiabank. In this role, I manage the bank's Credit Total Return Swap and CLO Warehousing portfolios.
My background includes roles as an Economic & Finance Research Assistant at The The Bank of Canada, Credit Derivatives & XVA Trading Intern at Scotiabank, and an External Portfolio Management Intern Analyst at CPPIB. I was the national champion of The Bank of Canada Governor's Challenge in 2018 and a finalist in 2017.
I hold a Master of Finance degree from Queen's University and a B.A. in Honours Economics & Financial Management with a Minor in Computer Science, all with Distinction from Wilfrid Laurier University.
Email: Salman.Hasham@scotiabank.com
Linkedin: Salman Hussein Hahsam
Research Profile: WLU Student Researcher
Published Papers
Published Papers
Skavysh, V., Sharples, J., & H. Hasham, S. (2024). Market structure of cryptoasset exchanges: Introduction, challenges and emerging trends. Bank of Canada. https://doi.org/10.34989/san-2024-2
This paper provides an overview of cryptoasset exchanges. We contrast their design with exchanges in traditional financial markets and discuss emerging regulatory trends and innovations aimed at solving the problems cryptoasset exchanges face.
Market Notes
Market Notes
Analyzing G10 government budget balances and debt levels relative to GDP, we show gold raises in value as governments accumulate large amounts of public debt, and gold falls when countries run budget surpluses. Using 2020 IMF estimates of government debt and budget balances, model implied gold prices are $1975/oz. Approximately 13% higher than trading levels today, and 30% higher than golds price in 2019.
Using annual data, we model the amount of slack that persists in the global economy by capturing all economic powerhouses; US, China, Japan, Eurozone, UK, Canada and the Rest of The World. Relating our measure of global slack to metals prices, we estimate a price floor under the scenario that economic con-ditions are like those of the financial crisis or worse. Our model also signals the world is in a recessionary state given where precious and base metals are trading today.
We provide an analysis of how precious and base metals respond to oil (WTI) prices. We find in the near term all metals are highly cyclical to oil prices, but over the long term observe a good amount of exposure to WTI price movements. Since Nov-1993, there have been 14 days when WTI prices fell by 10% or more. During these times of oil price stress we find all precious and base metals on average to also be associated to the oil selloff. Lastly, given WTIs recent move we provide hypothetical upside and downside potentials of various metals using their statistical relationship to WTI prices.
Last week, equity markets fell over 11% in 5 days over virus fears of global contagion. The worst drop the stock market has seen since the financial crisis. With the recent extreme downturn in equity markets, gold, a common safe haven asset has reversed its initial gains following the decline of other metals like silver, platinum and copper. In this note we look to characterize the movement in metals with extreme equity sell offs in the past. We show gold still remains ‘on average’ a good hedge against market stress, while many of the other metals are not.
We explore machine learning supervised techniques to forecast parts of the Canadian yield curve using current financial data. Our model is able to predict yields on various parts of the curve with reasonable accuracy on the front end, but offers strong accuracy on longer terms such as the 10Y and 30Y sectors. In comparison to a linear regression, we find there is a substantial improvementin accuracy across the curve, providing an incentive to further explore the use of machine algorithms to generate forecasts of Canadian yields.
The social economic welfare system in Canada has impacted fiscal policy and the way many Canadians live today. In this note using Sheiner & Ng (2018) framework, we characterize Canadas two types of fiscal policies being Discretionary and Automatic Stabilizers over the past 50 years. Discretionary stabilizers being changes in the government purchases, and Automatic stabilizers which include tax credits and social security programs to help mitigate economic fluctuations. Together both these stabilizers make up a nations fiscal policy. We find that fiscal policy in the most recent20 years has been countercyclical, increasing during recessions and contracting during expansions, whereby governments collectively aim fiscal rules to be timely, targeted and temporary. We extend our study and find more broadly that fiscal policy is related to the supply of government bonds and its yields. For example, during a recessionary cycle, the government is likely to increase the issuance of bonds to finance its larger expenses. If the nature of fiscal policy are related to short term expenses, we should expect a greater supply of shorter term debt and an increase in their yields. However, if the government projects are more long term in nature, we should anticipate additional supply in longer duration bonds followed by an increase in their yields.
US ISM PMI data releases appear to have larger effects on 2-year yields than on 10-year yields. As the economic intuition would entail, an increase in PMI data offers more inclination to rising yields asmarkets anticipate a better economic outlook in the future. The net effect causes the yield curve to flatten from the better economic environment, all else equal. In our study we also identify that the effect of PMI data releases on parts of the yield curve have weakened substantially in our data series since the financial crisis. The result of this is twofold; firstly, due to markets suffering from a permanent level decrease in interest rates and secondly, due to the FEDs unconventional monetary policy in which yields were explicitly held at extremely low levels. During this time of quantitative easing and explicit forward guidance made yields unresponsive to economic data (like PMI releases) and instead were primarily driven through central bank actions.
Research Assisted Papers
Research Assisted Papers
Initial coin offerings (ICOs) are a new mode of financing start-ups that saw an explosion in popularity in 2017 but declined in popularity in the second half of 2018 as regulatory pressure, instances of fraud and reports of poor performance began to undermine their reputation. We examine whether ICOs are a passing fad or a worthwhile form of financing with beneficial economic properties. We do so by examining how financing a start-up through an ICO changes the incentives of an entrepreneur relative to debt and venture capital financing. Depending on market characteristics, an ICO can result in a better or worse alignment of the interests of the entrepreneur and the investors compared with conventional modes of financing. Notably, an ICO can be the only form of financing that induces optimal effort and hence maximizes the net present value of the start-up, and there are projects that should not take place at all unless they can be financed through an ICO.
This paper explores the limitations that global financial cycles bring to monetary policy in small open economies, even under a flexible exchange rate. It then suggests ways to overcome those limitations to buttress monetary policy independence.
Undergraduate Research
Undergraduate Research
When should we expect the next policy rate adjustment from the Bank of Canada? Employing two approaches to capture model uncertainty, I use an Augmented Keynesian Model (AKM) andVector Autoregressive Model (VAR) to predict Canada’s real GDP with an endogenized policy rate. Using quarterly time series data over the period 1992 Q2 – 2017 Q3, I forecast the Canadian economy up to 2019 Q4 and find evidence in support of a 25-basis point increase (to 1.5%) in the policy rate in 2018 Q3 followed by an additional 25-basis point increase (to 1.75%) in 2019 Q2. These forecasts incorporate judgement on Canada’s current three largest macroeconomic risks stemming from an unfavourable NAFTA renegotiation, negative housing shock, and stronger US real GDP growth rate.
Does fiscal fatigue really exist? I answer this question by estimating a fiscal reaction function (FRF) using two different functional forms (linear and non-linear). For ‘fiscal fatigue’ to exist it requires a non-linear relationship between a country’s primary balance and debt. However, in the literature there is currently no consensus whether the relationship between a country’s primary balance and debt is non-linear. Using four developed economies over the period 1971-2016, I find evidence in support of a linear relationship over a non-linear FRF. Furthermore, I illustrate the conditions under which a researcher falsely claims fiscal fatigue by estimating a non-linear FRF in the presence of what I defined to be the opposite, “fiscal invigoration.” This is when a country trends back to its long-run equilibrium (the primary balance rises as debt level shrinks).