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A rare analytical look at the financial crisis using simple analysis
The economic crisis that began in 2008 revealed the numerous problems in our financial system, from the way mortgage loans were produced to the way Wall Street banks leveraged themselves. Curiously enough, however, most of the reasons for the banking collapse are very similar to the reasons that Long-Term Capital Management (LTCM), the largest hedge fund to date, collapsed in 1998. The Crisis of Crowding looks at LTCM in greater detail, with new information, for a more accurate perspective, examining how the subsequent hedge funds started by Meriwether and former partners were destroyed again by the lapse of judgement in allowing Lehman Brothers to fail.
Covering the lessons that were ignored during LTCM's collapse but eventually connected to the financial crisis of 2008, the book presents a series of lessons for hedge funds and financial markets, including touching upon the circle of greed from homeowners to real estate agents to politicians to Wall Street.
* Guides the reader through the real story of Long-Term Capital Management with accurate descriptions, previously unpublished data, and interviews
* Describes the lessons that hedge funds, as well as the market, should have learned from LTCM's collapse
* Explores how the financial crisis and LTCM are a global phenomena rooted in failures to account for risk in crowded spaces with leverage
* Explains why quantitative finance is essential for every financial institution from risk management to valuation modeling to algorithmic trading
* Is filled with simple quantitative analysis about the financial crisis, from the Quant Crisis of 2007 to the failure of Lehman Brothers to the Flash Crash of 2010
A unique blend of storytelling and sound quantitative analysis, The Crisis of Crowding is one of the first books to offer an analytical look at the financial crisis rather than just an account of what happened. Also included are a layman's guide to the Dodd-Frank rules and what it means for the future, as well as an evaluation of the Fed's reaction to the crisis, QE1, QE2, and QE3.
The economic crisis that began in 2008 revealed the numerous problems in our financial system, from the way mortgage loans were produced to the way Wall Street banks leveraged themselves. Curiously enough, however, most of the reasons for the banking collapse are very similar to the reasons that Long-Term Capital Management (LTCM), the largest hedge fund to date, collapsed in 1998. The Crisis of Crowding looks at LTCM in greater detail, with new information, for a more accurate perspective, examining how the subsequent hedge funds started by Meriwether and former partners were destroyed again by the lapse of judgement in allowing Lehman Brothers to fail.
Covering the lessons that were ignored during LTCM's collapse but eventually connected to the financial crisis of 2008, the book presents a series of lessons for hedge funds and financial markets, including touching upon the circle of greed from homeowners to real estate agents to politicians to Wall Street.
* Guides the reader through the real story of Long-Term Capital Management with accurate descriptions, previously unpublished data, and interviews
* Describes the lessons that hedge funds, as well as the market, should have learned from LTCM's collapse
* Explores how the financial crisis and LTCM are a global phenomena rooted in failures to account for risk in crowded spaces with leverage
* Explains why quantitative finance is essential for every financial institution from risk management to valuation modeling to algorithmic trading
* Is filled with simple quantitative analysis about the financial crisis, from the Quant Crisis of 2007 to the failure of Lehman Brothers to the Flash Crash of 2010
A unique blend of storytelling and sound quantitative analysis, The Crisis of Crowding is one of the first books to offer an analytical look at the financial crisis rather than just an account of what happened. Also included are a layman's guide to the Dodd-Frank rules and what it means for the future, as well as an evaluation of the Fed's reaction to the crisis, QE1, QE2, and QE3.
A rare analytical look at the financial crisis using simple analysis
The economic crisis that began in 2008 revealed the numerous problems in our financial system, from the way mortgage loans were produced to the way Wall Street banks leveraged themselves. Curiously enough, however, most of the reasons for the banking collapse are very similar to the reasons that Long-Term Capital Management (LTCM), the largest hedge fund to date, collapsed in 1998. The Crisis of Crowding looks at LTCM in greater detail, with new information, for a more accurate perspective, examining how the subsequent hedge funds started by Meriwether and former partners were destroyed again by the lapse of judgement in allowing Lehman Brothers to fail.
Covering the lessons that were ignored during LTCM's collapse but eventually connected to the financial crisis of 2008, the book presents a series of lessons for hedge funds and financial markets, including touching upon the circle of greed from homeowners to real estate agents to politicians to Wall Street.
* Guides the reader through the real story of Long-Term Capital Management with accurate descriptions, previously unpublished data, and interviews
* Describes the lessons that hedge funds, as well as the market, should have learned from LTCM's collapse
* Explores how the financial crisis and LTCM are a global phenomena rooted in failures to account for risk in crowded spaces with leverage
* Explains why quantitative finance is essential for every financial institution from risk management to valuation modeling to algorithmic trading
* Is filled with simple quantitative analysis about the financial crisis, from the Quant Crisis of 2007 to the failure of Lehman Brothers to the Flash Crash of 2010
A unique blend of storytelling and sound quantitative analysis, The Crisis of Crowding is one of the first books to offer an analytical look at the financial crisis rather than just an account of what happened. Also included are a layman's guide to the Dodd-Frank rules and what it means for the future, as well as an evaluation of the Fed's reaction to the crisis, QE1, QE2, and QE3.
The economic crisis that began in 2008 revealed the numerous problems in our financial system, from the way mortgage loans were produced to the way Wall Street banks leveraged themselves. Curiously enough, however, most of the reasons for the banking collapse are very similar to the reasons that Long-Term Capital Management (LTCM), the largest hedge fund to date, collapsed in 1998. The Crisis of Crowding looks at LTCM in greater detail, with new information, for a more accurate perspective, examining how the subsequent hedge funds started by Meriwether and former partners were destroyed again by the lapse of judgement in allowing Lehman Brothers to fail.
Covering the lessons that were ignored during LTCM's collapse but eventually connected to the financial crisis of 2008, the book presents a series of lessons for hedge funds and financial markets, including touching upon the circle of greed from homeowners to real estate agents to politicians to Wall Street.
* Guides the reader through the real story of Long-Term Capital Management with accurate descriptions, previously unpublished data, and interviews
* Describes the lessons that hedge funds, as well as the market, should have learned from LTCM's collapse
* Explores how the financial crisis and LTCM are a global phenomena rooted in failures to account for risk in crowded spaces with leverage
* Explains why quantitative finance is essential for every financial institution from risk management to valuation modeling to algorithmic trading
* Is filled with simple quantitative analysis about the financial crisis, from the Quant Crisis of 2007 to the failure of Lehman Brothers to the Flash Crash of 2010
A unique blend of storytelling and sound quantitative analysis, The Crisis of Crowding is one of the first books to offer an analytical look at the financial crisis rather than just an account of what happened. Also included are a layman's guide to the Dodd-Frank rules and what it means for the future, as well as an evaluation of the Fed's reaction to the crisis, QE1, QE2, and QE3.
Inhaltsverzeichnis
Foreword xv
Preface xix
Cast of Characters xxiii
CHAPTER 1 Introduction 1
PART I: THE 1998 LTCM CRISIS 5
CHAPTER 2 Meriwether's MagicMoney Tree 7
The Birth of Bond Arbitrage 7
The Dream Team 11
Early Success 14
CHAPTER 3 Risk Management 21
The General Idea 21
Leverage 22
Measuring Risk 23
The rho 24
Economics 24
Copycats, Puppies, and Counterparties 25
LTCM's Actual Risk Management Practices 27
Diversification 27
Operations 28
The Raw Evidence 29
CHAPTER 4 The Trades 37
The Short U.S. Swap Trade 41
The European Cross-Country Swap Trade
(Short UK and Long Europe) 44
Long U.S. Mortgage Securities Hedged 46
The Box Spread in Japan 48
The Italian Swap Spread 50
Fixed-Income Volatility Trades 52
The On-the-Run and Off-the-Run Trade 54
Short Longer-Term Equity Index Volatility 57
Risk Arbitrage Trades 60
Equity Relative-Value Trades 63
Emerging Market Trades 65
Other Trades 67
The Portfolio of Trades 68
CHAPTER 5 The Collapse 71
Early Summer 1998 71
The Salomon Shutdown 73
The Russian Default 75
The Phone Calls 77
The Meriwether Letter 79
Buffett's Hostile Alaskan Offer 81
The Consortium Bailout 82
Too Big To Fail 84
Why Did It Happen? 85
Appendix 5.1 The John Meriwether Letter 89
Appendix 5.2 The Warren Buffett Letter 93
CHAPTER 6 The Fate of LTCM Investors 95
CHAPTER 7 General Lessons from the Collapse 101
Interconnected Crowds 101
VaR 102
Leverage 105
Clearinghouses 108
Compensation 110
What's Size Got to Do with It? 110
Contingency Capital 113
The Fed Is a Coordinator of Last Resort 114
Counterparty Due Diligence 115
Spread the Love 115
Quantitative Theory Did Not Cause the LTCM Collapse 116
D´ej`a Vu 118
PART II: THE FINANCIAL CRISIS OF 2008 121
CHAPTER 8 The Quant Crisis 123
The Subprime Mortgage Market Collapse 127
What Was the Quant Crisis? 129
The Erratic Behavior of Quant Factors 130
Standard Factors 130
Quantitative Portfolio Factors 133
Causes of the Quant Crisis 134
The Shed Show 137
CHAPTER 9 The Bear Stearns Collapse 141
A Brief History of the Bear 141
Shadow Banking 143
Window Dressing 144
Repo Power 145
The Unexpected Hibernation 148
The Polar Spring 150
CHAPTER 10 Money for Nothing and Fannie and Freddie for Free 155
The Basic Business 157
Where's the Risk? 158
CDO and CDO2 159
The Gigantic Hedge Fund 162
Big-Time Profits 165
The U.S. Housing Bubble 168
The Circle of Greed 170
Real Estate Agents and Mortgage Lender Tricks 173
Home Owners 177
Profits and Politicians 177
The Media and Regulators 180
Grade Inflation 182
Commercial Banks 185
Freddie and Fannie's Foreclosure 186
Why Save Freddie and Fannie? 187
Did Anyone Know? 188
CHAPTER 11 The Lehman Bankruptcy 191
The Wall Street Club 191
Why Was Lehman Next? 193
Business Exposure 196
A Chronology of the Gori
Preface xix
Cast of Characters xxiii
CHAPTER 1 Introduction 1
PART I: THE 1998 LTCM CRISIS 5
CHAPTER 2 Meriwether's MagicMoney Tree 7
The Birth of Bond Arbitrage 7
The Dream Team 11
Early Success 14
CHAPTER 3 Risk Management 21
The General Idea 21
Leverage 22
Measuring Risk 23
The rho 24
Economics 24
Copycats, Puppies, and Counterparties 25
LTCM's Actual Risk Management Practices 27
Diversification 27
Operations 28
The Raw Evidence 29
CHAPTER 4 The Trades 37
The Short U.S. Swap Trade 41
The European Cross-Country Swap Trade
(Short UK and Long Europe) 44
Long U.S. Mortgage Securities Hedged 46
The Box Spread in Japan 48
The Italian Swap Spread 50
Fixed-Income Volatility Trades 52
The On-the-Run and Off-the-Run Trade 54
Short Longer-Term Equity Index Volatility 57
Risk Arbitrage Trades 60
Equity Relative-Value Trades 63
Emerging Market Trades 65
Other Trades 67
The Portfolio of Trades 68
CHAPTER 5 The Collapse 71
Early Summer 1998 71
The Salomon Shutdown 73
The Russian Default 75
The Phone Calls 77
The Meriwether Letter 79
Buffett's Hostile Alaskan Offer 81
The Consortium Bailout 82
Too Big To Fail 84
Why Did It Happen? 85
Appendix 5.1 The John Meriwether Letter 89
Appendix 5.2 The Warren Buffett Letter 93
CHAPTER 6 The Fate of LTCM Investors 95
CHAPTER 7 General Lessons from the Collapse 101
Interconnected Crowds 101
VaR 102
Leverage 105
Clearinghouses 108
Compensation 110
What's Size Got to Do with It? 110
Contingency Capital 113
The Fed Is a Coordinator of Last Resort 114
Counterparty Due Diligence 115
Spread the Love 115
Quantitative Theory Did Not Cause the LTCM Collapse 116
D´ej`a Vu 118
PART II: THE FINANCIAL CRISIS OF 2008 121
CHAPTER 8 The Quant Crisis 123
The Subprime Mortgage Market Collapse 127
What Was the Quant Crisis? 129
The Erratic Behavior of Quant Factors 130
Standard Factors 130
Quantitative Portfolio Factors 133
Causes of the Quant Crisis 134
The Shed Show 137
CHAPTER 9 The Bear Stearns Collapse 141
A Brief History of the Bear 141
Shadow Banking 143
Window Dressing 144
Repo Power 145
The Unexpected Hibernation 148
The Polar Spring 150
CHAPTER 10 Money for Nothing and Fannie and Freddie for Free 155
The Basic Business 157
Where's the Risk? 158
CDO and CDO2 159
The Gigantic Hedge Fund 162
Big-Time Profits 165
The U.S. Housing Bubble 168
The Circle of Greed 170
Real Estate Agents and Mortgage Lender Tricks 173
Home Owners 177
Profits and Politicians 177
The Media and Regulators 180
Grade Inflation 182
Commercial Banks 185
Freddie and Fannie's Foreclosure 186
Why Save Freddie and Fannie? 187
Did Anyone Know? 188
CHAPTER 11 The Lehman Bankruptcy 191
The Wall Street Club 191
Why Was Lehman Next? 193
Business Exposure 196
A Chronology of the Gori
Details
| Erscheinungsjahr: | 2012 |
|---|---|
| Fachbereich: | Einzelne Wirtschaftszweige |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 512 S. |
| ISBN-13: | 9781118250020 |
| ISBN-10: | 1118250028 |
| Sprache: | Englisch |
| Herstellernummer: | 1W118250020 |
| Autor: | Chincarini, Ludwig B. |
| Auflage: | 1. Auflage |
| Hersteller: | Wiley & Sons |
| Maße: | 33 x 158 x 236 mm |
| Von/Mit: | Ludwig B. Chincarini |
| Erscheinungsdatum: | 21.08.2012 |
| Gewicht: | 0,85 kg |
Inhaltsverzeichnis
Foreword xv
Preface xix
Cast of Characters xxiii
CHAPTER 1 Introduction 1
PART I: THE 1998 LTCM CRISIS 5
CHAPTER 2 Meriwether's MagicMoney Tree 7
The Birth of Bond Arbitrage 7
The Dream Team 11
Early Success 14
CHAPTER 3 Risk Management 21
The General Idea 21
Leverage 22
Measuring Risk 23
The rho 24
Economics 24
Copycats, Puppies, and Counterparties 25
LTCM's Actual Risk Management Practices 27
Diversification 27
Operations 28
The Raw Evidence 29
CHAPTER 4 The Trades 37
The Short U.S. Swap Trade 41
The European Cross-Country Swap Trade
(Short UK and Long Europe) 44
Long U.S. Mortgage Securities Hedged 46
The Box Spread in Japan 48
The Italian Swap Spread 50
Fixed-Income Volatility Trades 52
The On-the-Run and Off-the-Run Trade 54
Short Longer-Term Equity Index Volatility 57
Risk Arbitrage Trades 60
Equity Relative-Value Trades 63
Emerging Market Trades 65
Other Trades 67
The Portfolio of Trades 68
CHAPTER 5 The Collapse 71
Early Summer 1998 71
The Salomon Shutdown 73
The Russian Default 75
The Phone Calls 77
The Meriwether Letter 79
Buffett's Hostile Alaskan Offer 81
The Consortium Bailout 82
Too Big To Fail 84
Why Did It Happen? 85
Appendix 5.1 The John Meriwether Letter 89
Appendix 5.2 The Warren Buffett Letter 93
CHAPTER 6 The Fate of LTCM Investors 95
CHAPTER 7 General Lessons from the Collapse 101
Interconnected Crowds 101
VaR 102
Leverage 105
Clearinghouses 108
Compensation 110
What's Size Got to Do with It? 110
Contingency Capital 113
The Fed Is a Coordinator of Last Resort 114
Counterparty Due Diligence 115
Spread the Love 115
Quantitative Theory Did Not Cause the LTCM Collapse 116
D´ej`a Vu 118
PART II: THE FINANCIAL CRISIS OF 2008 121
CHAPTER 8 The Quant Crisis 123
The Subprime Mortgage Market Collapse 127
What Was the Quant Crisis? 129
The Erratic Behavior of Quant Factors 130
Standard Factors 130
Quantitative Portfolio Factors 133
Causes of the Quant Crisis 134
The Shed Show 137
CHAPTER 9 The Bear Stearns Collapse 141
A Brief History of the Bear 141
Shadow Banking 143
Window Dressing 144
Repo Power 145
The Unexpected Hibernation 148
The Polar Spring 150
CHAPTER 10 Money for Nothing and Fannie and Freddie for Free 155
The Basic Business 157
Where's the Risk? 158
CDO and CDO2 159
The Gigantic Hedge Fund 162
Big-Time Profits 165
The U.S. Housing Bubble 168
The Circle of Greed 170
Real Estate Agents and Mortgage Lender Tricks 173
Home Owners 177
Profits and Politicians 177
The Media and Regulators 180
Grade Inflation 182
Commercial Banks 185
Freddie and Fannie's Foreclosure 186
Why Save Freddie and Fannie? 187
Did Anyone Know? 188
CHAPTER 11 The Lehman Bankruptcy 191
The Wall Street Club 191
Why Was Lehman Next? 193
Business Exposure 196
A Chronology of the Gori
Preface xix
Cast of Characters xxiii
CHAPTER 1 Introduction 1
PART I: THE 1998 LTCM CRISIS 5
CHAPTER 2 Meriwether's MagicMoney Tree 7
The Birth of Bond Arbitrage 7
The Dream Team 11
Early Success 14
CHAPTER 3 Risk Management 21
The General Idea 21
Leverage 22
Measuring Risk 23
The rho 24
Economics 24
Copycats, Puppies, and Counterparties 25
LTCM's Actual Risk Management Practices 27
Diversification 27
Operations 28
The Raw Evidence 29
CHAPTER 4 The Trades 37
The Short U.S. Swap Trade 41
The European Cross-Country Swap Trade
(Short UK and Long Europe) 44
Long U.S. Mortgage Securities Hedged 46
The Box Spread in Japan 48
The Italian Swap Spread 50
Fixed-Income Volatility Trades 52
The On-the-Run and Off-the-Run Trade 54
Short Longer-Term Equity Index Volatility 57
Risk Arbitrage Trades 60
Equity Relative-Value Trades 63
Emerging Market Trades 65
Other Trades 67
The Portfolio of Trades 68
CHAPTER 5 The Collapse 71
Early Summer 1998 71
The Salomon Shutdown 73
The Russian Default 75
The Phone Calls 77
The Meriwether Letter 79
Buffett's Hostile Alaskan Offer 81
The Consortium Bailout 82
Too Big To Fail 84
Why Did It Happen? 85
Appendix 5.1 The John Meriwether Letter 89
Appendix 5.2 The Warren Buffett Letter 93
CHAPTER 6 The Fate of LTCM Investors 95
CHAPTER 7 General Lessons from the Collapse 101
Interconnected Crowds 101
VaR 102
Leverage 105
Clearinghouses 108
Compensation 110
What's Size Got to Do with It? 110
Contingency Capital 113
The Fed Is a Coordinator of Last Resort 114
Counterparty Due Diligence 115
Spread the Love 115
Quantitative Theory Did Not Cause the LTCM Collapse 116
D´ej`a Vu 118
PART II: THE FINANCIAL CRISIS OF 2008 121
CHAPTER 8 The Quant Crisis 123
The Subprime Mortgage Market Collapse 127
What Was the Quant Crisis? 129
The Erratic Behavior of Quant Factors 130
Standard Factors 130
Quantitative Portfolio Factors 133
Causes of the Quant Crisis 134
The Shed Show 137
CHAPTER 9 The Bear Stearns Collapse 141
A Brief History of the Bear 141
Shadow Banking 143
Window Dressing 144
Repo Power 145
The Unexpected Hibernation 148
The Polar Spring 150
CHAPTER 10 Money for Nothing and Fannie and Freddie for Free 155
The Basic Business 157
Where's the Risk? 158
CDO and CDO2 159
The Gigantic Hedge Fund 162
Big-Time Profits 165
The U.S. Housing Bubble 168
The Circle of Greed 170
Real Estate Agents and Mortgage Lender Tricks 173
Home Owners 177
Profits and Politicians 177
The Media and Regulators 180
Grade Inflation 182
Commercial Banks 185
Freddie and Fannie's Foreclosure 186
Why Save Freddie and Fannie? 187
Did Anyone Know? 188
CHAPTER 11 The Lehman Bankruptcy 191
The Wall Street Club 191
Why Was Lehman Next? 193
Business Exposure 196
A Chronology of the Gori
Details
| Erscheinungsjahr: | 2012 |
|---|---|
| Fachbereich: | Einzelne Wirtschaftszweige |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 512 S. |
| ISBN-13: | 9781118250020 |
| ISBN-10: | 1118250028 |
| Sprache: | Englisch |
| Herstellernummer: | 1W118250020 |
| Autor: | Chincarini, Ludwig B. |
| Auflage: | 1. Auflage |
| Hersteller: | Wiley & Sons |
| Maße: | 33 x 158 x 236 mm |
| Von/Mit: | Ludwig B. Chincarini |
| Erscheinungsdatum: | 21.08.2012 |
| Gewicht: | 0,85 kg |
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