748:) that would defer foreign interest income for seven years, thereby being able to earn the more favorable capital gains treatment. LTCM purchased a call option on 1 million of their own shares (valued then at $ 800 million) for a premium paid to UBS of $ 300 million. This transaction was completed in three tranches: in June, August, and October 1997. Under the terms of the deal, UBS agreed to reinvest the $ 300 million premium directly back into LTCM for a minimum of three years. In order to hedge its exposure from being short the call option, UBS also purchased 1 million of LTCM shares. Put-call parity means that being short a call and long the same amount of notional as underlying the call is equivalent to being short a put. So the net effect of the transaction was for UBS to lend $ 300 million to LTCM at LIBOR+50 and to be short a put on 1 million shares. UBS's own motivation for the trade was to be able to invest in LTCM – a possibility that was not open to investors generally – and to become closer to LTCM as a client. LTCM quickly became the largest client of the hedge fund desk, generating $ 15 million in fees annually.
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was a flight to quality, bidding up the prices of the most liquid and benchmark securities that LTCM was short, and depressing the price of the less liquid securities it owned. This phenomenon occurred not merely in the US Treasury market but across the full spectrum of financial assets. Although LTCM was diversified, the nature of its strategy implied an exposure to a latent factor risk of the price of liquidity across markets. As a consequence, when a much larger flight to liquidity occurred than had been anticipated when constructing its portfolio, its positions designed to profit from convergence to fair value incurred large losses as expensive but liquid securities became more expensive, and cheap but illiquid securities became cheaper. By the end of August, the fund had lost $ 1.85 billion in capital.
667:: a flattening would depress the yields and raise the prices of longer-dated bonds, and raise the yields and depress the prices of shorter-dated bonds. It would therefore tend to create losses by making the 30-year bond that LTCM was short more expensive (and the 29.75-year bond they owned cheaper) even if there had been no change in the true relative valuation of the securities. This exposure to the shape of the yield curve could be managed at a portfolio level, and hedged out by entering a smaller steepener in other similar securities.
1255:. Haghani, Hilibrand, Leahy, and Rosenfeld signed up as principals of the new firm. By December 1999, they had raised $ 250 million for a fund that would continue many of LTCM's strategies – this time, using less leverage. With the credit crisis of 2008, JWM Partners LLC was hit with a 44% loss from September 2007 to February 2009 in its Relative Value Opportunity II fund. As such, JWM Hedge Fund was shut down in July 2009. Meriwether then launched a third hedge fund in 2010 called JM Advisors Management. A 2014
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because in their belief the present value of the future cashflows of the two securities should be similar. This might have happened in the long run, but due to its losses on other positions, LTCM had to unwind its position in Royal Dutch Shell. Lowenstein reports that the premium of Royal Dutch had increased to about 22%, which implies that LTCM incurred a large loss on this arbitrage strategy. LTCM lost $ 286 million in equity
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yields). Whereas it is possible to construct a single set of valuation curves for derivative instruments based on LIBOR-type fixings, it is not possible to do so for government bond securities because every bond has slightly different characteristics. It is therefore necessary to construct a theoretical model of what the relationships between different but closely related fixed income securities should be.
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LTCM was therefore dependent on the willingness of its counterparties in the government bond (repo) market to continue to finance their portfolio. If the company were unable to extend its financing agreements, then it would be forced to sell the securities it owned and to buy back the securities it was short at market prices, regardless of whether these were favorable from a valuation perspective.
481: – funds which accepted stakes from 100 or fewer individuals each with more than $ 1 million in net worth were exempt from most of the regulations that bound other investment companies. The bulk of the money raised, in late 1993, came from companies and individuals connected to the financial industry. With the help of Merrill Lynch, LTCM also secured hundreds of millions of dollars from
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1280:(VaR) models had implied that the loss Long Term suffered in August was so unlikely that it ought never to have happened in the entire life of the universe. But that was because the models were working with just five years' worth of data. If the models had gone back even eleven years, they would have captured the
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in August and
September 1998, when the Russian government defaulted on its domestic local currency bonds. This came as a surprise to many investors because according to traditional economic thinking of the time, a sovereign issuer should never need to default given access to the printing press. There
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in the New York Times article of July 1998, returns that month were circa -10%. One LTCM partner commented that because there was a clear temporary reason to explain the widening of arbitrage spreads, at the time it gave them more conviction that these trades would eventually return to fair value (as
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LTCM's strategies were compared to "picking up nickels in front of a bulldozer" – a likely small gain balanced against a small chance of a large loss, like the payouts from selling an out-of-the-money naked call option. This contrasts with the market efficiency aphorism that there are no $ 100 bills
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LLP. After the bailout by the other investors, the panic abated, and the positions formerly held by LTCM were eventually liquidated at a small profit to the rescuers. Although termed a bailout, the transaction effectively amounted to an orderly liquidation of the positions held by LTCM with creditor
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business in July 1998. Because the
Salomon arbitrage group (where many of LTCM's strategies had first been incubated) had been a significant player in the kinds of strategies also pursued by LTCM, the liquidation of the Salomon portfolio (and its announcement itself) had the effect of depressing the
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Although 1997 had been a very profitable year for LTCM (27%), the lingering effects of the 1997 Asian crisis continued to shape developments in asset markets into 1998. Despite the crisis originating in Asia, its effects were not confined to that region. The rise in risk aversion had raised concerns
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found in his research that stocks were bound to have extreme outliers. Furthermore, he believed that, because they are subject to discontinuous price changes, real-life markets are inherently more risky than models. He became even more concerned when LTCM began adding stocks to their bond portfolio.
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In Q4 1997, a year in which it earned 27%, LTCM returned capital to investors. It also broadened its strategies to include new approaches in markets outside of fixed income: many of these were not market neutral – they were dependent on overall interest rates or stock prices going up (or down) – and
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the newly issued benchmark 30-year, which traded at a premium. Over time the valuations of the two bonds would tend to converge as the richness of the benchmark faded once a new benchmark was issued. If the coupons of the two bonds were similar, then this trade would create an exposure to changes in
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in the US – known as the benchmark – will be more liquid than bonds of similar but slightly shorter maturity that were issued previously. Trading is concentrated in the benchmark bond, and transaction costs are lower for buying or selling it. As a consequence, it tends to trade more expensively than
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These ideas were expanded in a 2016 CFA article written by Ron
Rimkusk, which pointed out that the VaR model, one of the major quantitative analysis tool by LTCM, had several flaws in it. A VaR model is calculated based on historical data, but the data sample used by LTCM excluded previous economic
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involvement and supervision by the
Federal Reserve Bank. No public money was injected or directly at risk, and the companies involved in providing support to LTCM were also those that stood to lose from its failure. The creditors themselves did not lose money from being involved in the transaction.
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to create a portfolio that was a significant multiple (varying over time depending on their portfolio composition) of investors' equity in the fund. It was also necessary to access the financing market in order to borrow the securities that they had sold short. In order to maintain their portfolio,
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In return, the participating banks got a 90% share in the fund and a promise that a supervisory board would be established. LTCM's partners received a 10% stake, still worth about $ 400 million, but this money was completely consumed by their debts. The partners once had $ 1.9 billion of their own
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Long-Term
Capital Management did business with nearly every important person on Wall Street. Indeed, much of LTCM's capital was composed of funds from the same financial professionals with whom it traded. As LTCM teetered, Wall Street feared that Long-Term's failure could cause a chain reaction in
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Although periods of distress have often created tremendous opportunities for relative value strategies, this did not prove to be the case on this occasion, and the seeds of LTCM's demise were sown before the
Russian default of 17 August 1998. LTCM had returned $ 2.7 bn to investors in Q4 of 1997,
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in the summer of 1997, when Royal Dutch traded at an 8%–10% premium relative to Shell. In total $ 2.3 billion was invested, half of which was "long" in Shell and the other half was "short" in Royal Dutch. LTCM was essentially betting that the share prices of Royal Dutch and Shell would converge
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LTCM was open about its overall strategy, but very secretive about its specific operations, including scattering trades among banks. And in perhaps a disconcerting note, "since Long-Term was flourishing, no one needed to know exactly what they were doing. All they knew was that the profits were
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Because these losses reduced the capital base of LTCM, and its ability to maintain the magnitude of its existing portfolio, LTCM was forced to liquidate a number of its positions at a highly unfavorable moment and suffer further losses. A vivid illustration of the consequences of these forced
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Fixed income securities pay a set of coupons at specified dates in the future, and make a defined redemption payment at maturity. Since bonds of similar maturities and the same credit quality are close substitutes for investors, there tends to be a close relationship between their prices (and
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Because LTCM was not the only fund pursuing such a strategy, and because the proprietary trading desks of the banks also held some similar trades, the divergence from fair value was made worse as these other positions were also liquidated. As rumors of LTCM's difficulties spread, some market
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After the bailout, Long-Term
Capital Management continued operations. In the year following the bailout, it earned 10%. By early 2000, the fund had been liquidated, and the consortium of banks that financed the bailout had been paid back, but the collapse was devastating for many involved.
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Under prevailing US tax laws, there was a different treatment of long-term capital gains, which were taxed at 20.0 percent, and income, which was taxed at 39.6 percent. The earnings for partners in a hedge fund was taxed at the higher rate applying to income, and LTCM applied its financial
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LTCM's profit percentage for 1996 was 40%. However, for 1997, it was "only" 17%, which was actually right at average for hedge funds. A big reason was that other companies were by now following LTCM's example; greater competition left fewer arbitrage opportunities for LTCM themselves.
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offered then to buy out the fund's partners for $ 250 million, to inject $ 3.75 billion and to operate LTCM within
Goldman's own trading division. The offer of $ 250 million was stunningly low to LTCM's partners because at the start of the year their firm had been worth $ 4.7 billion.
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concludes that LTCM grew such a large portion of such illiquid markets that there was no diversity in buyers in them, or no buyers at all, so the wisdom of the market did not function and it was impossible to determine a price for its assets (such as Danish bonds in
September 1998).
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Some industry officials said that
Federal Reserve Bank of New York involvement in the rescue, however benign, would encourage large financial institutions to assume more risk, in the belief that the Federal Reserve would intervene on their behalf in the event of trouble (see
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participants positioned in anticipation of a forced liquidation. Victor Haghani, a partner at LTCM, said about this time "it was as if there was someone out there with our exact portfolio,... only it was three times as large as ours, and they were liquidating all at once."
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LTCM was initially successful, with annualized returns (after fees) of around 21% in its first year, 43% in its second year and 41% in its third year. However, in 1998 it lost $ 4.6 billion in less than four months due to a combination of high leverage and exposure to the
940:. In the first three weeks of September, LTCM's equity tumbled from $ 2.3 billion at the start of the month to just $ 400 million by September 25. With liabilities still over $ 100 billion, this translated to an effective leverage ratio of more than 250-to-1.
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dashed. The theories of Merton and Scholes took a public beating. In its annual reports, Merrill Lynch observed that mathematical risk models "may provide a greater sense of security than warranted; therefore, reliance on these models should be limited."
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As a result, LTCM began investing in emerging-market debt and foreign currencies. Some of the major partners, particularly Myron Scholes, had their doubts about these new investments. For example, when LTCM took a major position in the
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LTCM attempted to create a splinter fund in 1996 called LTCM-X that would invest in even higher risk trades and focus on Latin American markets. LTCM turned to UBS to invest in and write the warrant for this new spin-off company.
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The main strategy was to find pairs of bonds which should have a predictable spread between their prices, and then when this spread widened further to basically place a bet that the two prices would come back towards each other.
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Because the magnitude of discrepancies in valuations in this kind of trade is small (for the benchmark Treasury convergence trade, typically a few basis points), in order to earn significant returns for investors, LTCM used
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Opaqueness may have made even more of a difference and investors may have had even a harder time judging the risk involved when LTCM moved from bond arbitrage into arbitrage involving common stocks and corporate mergers.
509:-type strategies). In fixed income the company was involved in US Treasuries, Japanese Government Bonds, UK Gilts, Italian BTPs, and Latin American debt, although their activities were not confined to these markets or to
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proposed that LTCM's collapse stemmed in part from their use of only five years of financial data to prepare their mathematical models, thus drastically under-estimating the risks of a profound economic crisis:
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The fear was that there would be a chain reaction as the company liquidated its securities to cover its debt, leading to a drop in prices, which would force other companies to liquidate their own debt in a
718:(2010) states, "These derivatives, such as interest rate swaps, were developed with the supposed goal of allowing firms to manage risk on exchange rates and interest rate movements. Instead, they allowed
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older bonds, but this expensiveness (or richness) tends to have a limited duration, because after a certain time there will be a new benchmark, and trading will shift to this security newly issued by the
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1769:, John Quiggin (University of Queensland in Australia), Ch. 2 The Efficient Market Hypothesis, subsection "The Long-Term Capital Management Fiasco" (pages 55-58), Princeton University Press, 2010.
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were two of the individual investors that Meriwether approached in 1993 to invest in the fund. Both analyzed the company but turned down the offer, considering the leverage plan to be too risky.
27:
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In May and June 1998 returns from the fund were -6.42% and -10.14% respectively, reducing LTCM's capital by $ 461 million. This was further aggravated by the exit of Salomon Brothers from the
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since even though the Fed had not directly injected capital, its use of moral suasion to encourage creditor involvement emphasized its interest in supporting the financial system.
773:(betting on differences between a proprietary view of the likelihood of success of mergers and other corporate transactions would be completed and the implied market pricing) and
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LTCM faced challenges in deploying capital as their capital base grew due to initially strong returns, and as the magnitude of anomalies in market pricing diminished over time.
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1448:. Robert C. Merton and Myron S. Scholes pictures. Myron S. Scholes with location named as "Long Term Capital Management, Greenwich, CT, USA" where the prize was received.
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organized a bailout of $ 3.625 billion by the major creditors to avoid a wider collapse in the financial markets. The principal negotiator for LTCM was general counsel
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2380:
Loomis, Carol J. (1998). "A House Built on Sand; John Meriwether's once-mighty Long-Term Capital has all but crumbled. So why did Warren Buffett offer to buy it?".
1292:, I would have been in a better position to understand events." To put it bluntly, the Nobel prize winners had known plenty of mathematics, but not enough history.
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505:: using quantitative models to exploit deviations from fair value in the relationships between liquid securities across nations, and between asset classes (i.e.
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389:, later a Principal at LTCM, the bond arbitrage group was responsible for 80–100% of Salomon's global total earnings from the late 1980s until the early 1990s.
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Siconolfi, Michael; Pacelle, Mitchell; Raghavan, Anita (1998-11-16). "All Bets Are Off: How the Salesmanship And Brainpower Failed At Long-Term Capital".
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1429:, quarterly publication of the Federal Reserve Branch of Richmond , which is the 5th of 12 districts of the U.S. Federal Reserve system, Summer 2009.
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amongst investors regarding all markets heavily dependent on international capital flows, and this shaped asset pricing in markets outside Asia too.
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While J.M. presided over the firm and Rosenfeld ran it from day to day, Haghani and the slightly senior Hilibrand had the most influence on trading.
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and later the Italian central bank. By 24 February 1994, the day LTCM began trading, the company had amassed just over $ 1.01 billion in capital.
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At the beginning of 1998, the firm had equity of $ 4.7 billion and had borrowed over $ 124.5 billion with assets of around $ 129 billion, for a
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in the LTCM strategies was to purchase the old benchmark – now a 29.75-year bond, and which no longer had a significant premium – and to
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believed it was reckless to have the combination of high leverage and not accounting for rare or outlying scenarios. Software designer
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In June 1998 – which was before the Russian financial crisis – LTCM posted a 10% loss, which was their biggest monthly loss to date.
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crises such as those of 1987 and 1994. VaR also could not interpret extreme events such as a financial crisis in terms of timing.
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Meriwether chose to start a hedge fund to avoid the financial regulation imposed on more traditional investment vehicles, such as
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185:, collapsed soon thereafter, leading to an agreement on September 23, 1998, among 14 financial institutions for a $ 3.65 billion
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The total losses were found to be $ 4.6 billion. The losses in the major investment categories were (ordered by magnitude):
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Despite the fund's prominent leadership and strong growth at LTCM, there were skeptics from the very beginning. Investor
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After LTCM failed to raise more money on its own, it became clear it was running out of options. On September 23, 1998,
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The company, which had historically earned annualized compounded returns of almost 40% up to this point, experienced a
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they were not traditional convergence trades. By 1998, LTCM had accumulated extremely large positions in areas such as
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engineering expertise to legally transform income into capital gains. It did so by engaging in a transaction with UBS (
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170:
430:. The fund's operation was designed to have extremely low overhead; trades were conducted through a partnership with
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coming in as promised," or at least perhaps what should have been a disconcerting note when looked at in hindsight.
130:. In 1998, it received a $ 3.6 billion bailout from a group of 14 banks, in a deal brokered and put together by the
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prices of the securities owned by LTCM and bidding up the prices of the securities LTCM was short. According to
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article stated that his later two funds used "the same investment strategy from his time at LTCM and Salomon."
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1288:, after the 1917 Revolution. Meriwether himself, born in 1947, ruefully observed: "If I had lived through the
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1200:). Federal Reserve Bank of New York actions raised concerns among some market observers that it could create
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Fortune's Formula: The Untold Story of the Scientific Betting System that Beat the Casinos and Wall Street
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gave Meriwether less than one hour to accept the deal; the time lapsed before a deal could be worked out.
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liquidations is given by Lowenstein (2000). He reports that LTCM established an arbitrage position in the
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In 1993 Meriwether created Long-Term Capital as a hedge fund and recruited several Salomon bond traders;
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960:), the site of a September 23, 1998, meeting to rescue LTCM; in attendance were representatives of
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891:. Since position sizes had not been reduced, the net effect was to raise the leverage of the fund.
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derivative positions with a notional value of approximately $ 1.25 trillion, most of which were in
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options (net short long-term S&P volatility). LTCM had become a major supplier of S&P 500
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in particular would wield substantial clout and two future winners of the Nobel Memorial Prize,
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Unbounded irrationality: Risk and organizational narcissism at Long Term Capital Management
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MacKenzie, Donald (2003). "Long-Term Capital Management and the Sociology of Arbitrage".
426:. LTCM managed trades in Long-Term Capital Portfolio LP, a partnership registered in the
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1790:"The Epic Story Of How A 'Genius' Hedge Fund Almost Caused A Global Financial Meltdown"
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although it had also raised a total in capital of $ 1.066 bn from UBS and $ 133 m from
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385:' bond arbitrage desk until he resigned in 1991 amid a trading scandal. According to
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Inventing Money: The story of Long-Term Capital Management and the legends behind it
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Meriwether and Strange Weather: Intelligence, Risk Management and Critical Thinking
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2042:"Threat Finance: Capital Markets Risk Complex and Supercritical, Says Jim Rickards"
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1703:"Discourses of Scientific Finance and the Failure of Long-Term Capital Management"
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and more than half of this loss is accounted for by the Royal Dutch Shell trade.
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numerous markets, causing catastrophic losses throughout the financial system.
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1463:, Jerry W. Markham, Chapter 5: "Bank Consolidation", M. E. Sharpe, Inc., 2002
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Fenton-O'Creevy, Mark; Nicholson, Nigel; Soane, Emma; Willman, Paul (2004).
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797:, who had sold a statistical program with LTCM partner Eric Rosenfeld, saw
854:, Scholes warned that they had no "informational advantage" in this area.
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was concerned about extraordinary events affecting the market. Economist
419:
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The core investment strategy of the company was then known as involving
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US District Court of Connecticut judgement on tax status of LTCM losses
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3195:
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When Genius Failed: The Rise and Fall of Long-Term Capital Management
2018:
Infectious Greed: How Deceit and Risk Corrupted the Financial Markets
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When Genius Failed: The Rise and Fall of Long-Term Capital Management
1180:
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1032:. The contributions from the various institutions were as follows:
1284:. If they had gone back eighty years they would have captured the
947:
827:
412:, William Krasker, Dick Leahy, James McEntee, Robert Shustak, and
1208:
lying on the street, as someone else has already picked them up.
418:
The company consisted of Long-Term Capital Management (LTCM), a
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as a faith, rather than science. Nobel Prize winning economist
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Traders: Risks, Decisions, and Management in Financial Markets
2133:
http://eml.berkeley.edu/~webfac/craine/e137_f03/137lessons.pdf
1892:"Eastern Europe: Could Asia's Financial Crisis Strike Europe?"
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including business owners and celebrities, as well as private
1461:
A financial History of the United States Volume II: 1970–2001
1411:
1409:
1407:
1405:
1403:
1401:
836:
and invested monthly in U.S. Treasuries at constant maturity.
2376:. Chapter 15: Long-Term Capital Management, pp. 245–273
2637:
Michael Lewis – NYT – How the Eggheads Cracked-January 1999
2574:
An Engine, not a Camera: How Financial Models Shape Markets
1220:
resigned as a result of a $ 780 million loss incurred from
513:. LTCM was the brightest star on Wall Street at that time.
65:
1998 private bailout arranged by U.S. Fed; 2000 dissolution
2417:
What Goes Up, The Uncensored History of Modern Wall Street
2163:
GAO/GGD-00-67R Questions Concerning LTCM and Our Responses
904:
they did, but not without widening much further first).
193:. The fund was liquidated and dissolved in early 2000.
2362:
Global Derivative Debacles: From Theory to Malpractice
752:
Diminishing opportunities and broadening of strategies
1479:
The ascent of money: a financial history of the world
1760:
Zombie Economics: How Dead Ideas Still Walk among Us
1665:"BACK FROM THE BRINK; Lessons of a Long, Hot Summer"
1251:
After helping unwind LTCM, John Meriwether launched
1110:
money invested in LTCM, all of which was wiped out.
3689:
Financial services companies disestablished in 2000
3119:
3053:
2961:
2915:
2906:
2865:
2832:
2787:
2754:
2702:
2693:
1783:
1781:
1779:
1777:
1775:
100:
80:
69:
61:
51:
43:
33:
2442:"Eric Rosenfeld talks about LTCM, ten years later"
1949:
1947:
1646:
1644:
1504:
1456:
1454:
1439:The Bank of Sweden Prize in Economic Sciences 1997
2314:Crouhy, Michel; Galai, Dan; Mark, Robert (2006).
2288:Coy, Peter; Wooley, Suzanne (21 September 1998).
3684:Financial services companies established in 1994
2219:"John Meriwether to shut hedge fund - Bloomberg"
1663:Henriques, Diana B.; Kahn, Joseph (1998-12-06).
1507:The Age of Turbulence: Adventures in a New World
369:Arbitrage group at Salomon; Masters in Finance,
330:'s campaign for Arkansas state attorney general
149:. Members of LTCM's board of directors included
1274:
218:Former vice chair and head of bond trading at
3211:
2671:
8:
2172:General Accounting Office, February 23, 2000
408:. Other principals included Eric Rosenfeld,
19:
3155:Alternative investment management companies
3132:Standards Board for Alternative Investments
2256:Financial Scandals, Scoundrels & Crises
2054:(February 25, 2010). Retrieved May 13, 2011
1833:Surowiecki, James (2005). "Chapter 11.IV".
1324:Commodity Futures Modernization Act of 2000
832:The value of $ 1,000 invested in LTCM, the
312:; former Harvard Business School professor
300:; former Harvard Business School professor
157:, who three years later in 1997 shared the
3218:
3204:
3196:
3180:
3036:Taxation of private equity and hedge funds
2912:
2699:
2678:
2664:
2656:
2205:
2193:
2181:
2150:
2121:
2000:
1988:
1976:
1964:
1953:
1877:
1865:
1820:
1747:
1471:
1469:
1239:, once considered a possible successor to
663:the shape of the typically upward sloping
18:
3599:Facebook–Cambridge Analytica data scandal
3311:Bank of Credit and Commerce International
2652:, in: Human Relations 56 (5), S. 523–540.
2509:
907:Such losses were accentuated through the
2613:Case Study: Long-Term Capital Management
1227:on LTCM, which had become significantly
1926:. USA: John Wiley & Sons. pp.
1837:. New York: Anchor Books. p. 240.
1549:"Chi-Fu Huang: From Theory to Practice"
1397:
459:
141:, the former vice-chairman and head of
2320:. New York: McGraw-Hill Professional.
2063:Wall Street Journal, 25 September 1998
1650:
1635:
1623:
1611:
1600:
1588:
1535:
640:For example, the most recently issued
602:Long emerging market equity hedged to
440:
200:
3724:2000 disestablishments in Connecticut
2736:fixed-income relative-value investing
434:and client relations were handled by
285:; was seen as potential successor to
237:Massachusetts Institute of Technology
7:
2231:from the original on 5 February 2021
1425:Stephen Slivinski, senior editor of
841:Riskier investments starting in 1997
1482:. London: Allen Lane. p. 329.
235:Leading scholar in finance; Ph.D.,
3719:1994 establishments in Connecticut
1143:$ 371 mn in directional trades in
700:. The fund also invested in other
671:Leverage and portfolio composition
340:Arbitrage group at Salomon; Ph.D.
322:Arbitrage group at Salomon; Ph.D.
308:Arbitrage group at Salomon; Ph.D.
296:Arbitrage group at Salomon; Ph.D.
14:
3591:Wells Fargo account fraud scandal
2317:The Essentials of Risk Management
1187:Long-Term Capital was audited by
117:Long-Term Capital Management L.P.
3179:
3170:
3169:
3160:
3159:
3150:
3149:
2856:
1890:O'Rourke, Breffni (1997-09-09).
1788:Yang, Stephanie (Jul 11, 2014).
1026:Federal Reserve Bank of New York
954:Federal Reserve Bank of New York
451:
444:
183:Long-Term Capital Portfolio L.P.
132:Federal Reserve Bank of New York
25:
3709:Hedge fund firms in Connecticut
3559:Saradha Group financial scandal
3519:National Herald corruption case
2484:from the original on 2021-04-29
2448:from the original on 2020-11-11
2364:. Singapore: World Scientific.
2290:"Failed Wizards of Wall Street"
2266:from the original on 2021-04-23
2080:from the original on 2007-09-30
1902:from the original on 2016-04-14
1683:from the original on 2021-05-25
1359:Martingale (probability theory)
422:-incorporated company based in
3375:Lysine price-fixing conspiracy
2252:"Long-Term Capital Management"
1511:. The Penguin Press. pp.
479:Investment Company Act of 1940
1:
3247:Panic of 1890 (Baring crisis)
1416:"Too Interconnected to Fail?"
1137:$ 430 mn in Russia and other
909:1998 Russian financial crisis
882:1998 Russian financial crisis
876:1998 Russian financial crisis
599:Long emerging market currency
553:On-the-run/off-the-run spread
189:under the supervision of the
175:1998 Russian financial crisis
3674:Long-Term Capital Management
3583:1Malaysia Development Berhad
3495:Volkswagen emissions scandal
3391:Long-Term Capital Management
3351:Towers Financial Corporation
3010:security characteristic line
2592:Poundstone, William (2005).
2419:. New York: Back Bay Books.
2386:. Vol. 138, no. 8.
2099:"Lehman Says It's 'Solvent'"
1920:Bookstaber, Richard (2007).
1896:RadioFreeEurope/RadioLiberty
1024:Seeing no options left, the
834:Dow Jones Industrial Average
726:Secret and opaque operations
137:LTCM was founded in 1994 by
20:Long-Term Capital Management
3631:Facebook company files leak
3543:Indian coal allocation scam
2998:Capital asset pricing model
2717:Capital structure arbitrage
2539:. Oxford University Press.
2444:. MIT Tech TV. 2009-02-19.
2360:Jacque, Laurent L. (2010).
1354:Martingale (betting system)
867:1997 Asian financial crisis
861:1997 Asian financial crisis
722:on an unparalleled scale."
217:
171:1997 Asian financial crisis
16:Defunct American hedge fund
3740:
2800:Commodity trading advisors
2571:MacKenzie, Donald (2006).
2554:Gladwell, Malcolm (2002).
2250:Rimkus, Ron (2016-04-18).
2074:"Bloomberg.com: Exclusive"
2020:. Macmillan. p. 261.
1701:De Goede, Marieke (2001).
1538:, pp. 110–pgs 111–112
1286:last great Russian default
1243:, saw his future with the
1050:Credit Suisse First Boston
990:Morgan Stanley Dean Witter
879:
864:
212:
3641:
3233:
3145:
3137:Managed Funds Association
3081:High-net-worth individual
2854:
2335:Dunbar, Nicholas (2000).
1923:A Demon Of Our Own Design
1719:10.1080/13563460120060580
1218:Union Bank of Switzerland
1216:In 1998, the chairman of
1179:no substantial losses in
1153:pairs (such as VW, Shell)
746:Union Bank of Switzerland
694:interest rate derivatives
517:List of Major 1998 Trades
483:high-net-worth individual
467:were principals at LTCM.
208:
203:
161:for having developed the
24:
3679:1998 in economic history
3527:News Corporation scandal
3327:Indian stock market scam
2974:Arbitrage pricing theory
2415:Weiner, Eric J. (2007).
1503:Greenspan, Alan (2007).
1476:Ferguson, Niall (2008).
1231:due to LTCM's collapse.
1105:declined to participate.
688:of over 25 to 1. It had
536:Long US mortgages hedged
477:, as established by the
159:Nobel Prize in Economics
3086:Institutional investors
2979:Assets under management
2804:managed futures account
2463:The Wall Street Journal
1282:1987 stock market crash
165:of financial dynamics.
3455:Bayou Hedge Fund Group
3111:Sovereign wealth funds
2883:High-frequency trading
2732:Fixed income arbitrage
2520:10.1080/03085140303130
1369:St. Petersburg paradox
1306:
997:
837:
632:Fixed income arbitrage
621:Short high-tech stocks
522:Fixed Income Arbitrage
424:Greenwich, Connecticut
74:Greenwich, Connecticut
3263:Kinney Services, Inc.
2953:Structured securities
2769:Distressed securities
2741:Statistical arbitrage
2727:Equity market neutral
2722:Convertible arbitrage
2472:"Trillion Dollar Bet"
1707:New Political Economy
951:
831:
624:Convertible arbitrage
582:Equity relative value
487:university endowments
359:Executive at Salomon
273:Vice chairman of the
258:University of Chicago
224:University of Chicago
109:Investment management
3367:Sumitomo Corporation
3071:Financial endowments
3016:Fundamental analysis
2764:Shareholder activism
2746:Volatility arbitrage
2040:Kathryn M. Welling,
1835:The wisdom of crowds
1575:. 2011. p. 55.
1074:Salomon Smith Barney
994:Salomon Smith Barney
799:quantitative finance
686:debt-to-equity ratio
414:David W. Mullins Jr.
269:David W. Mullins Jr.
3714:Defunct hedge funds
3652:Accounting scandals
3185:List of hedge funds
3175:Hedge fund managers
3091:Insurance companies
3076:Fund of hedge funds
2984:Black–Scholes model
2898:Proprietary trading
2873:Algorithmic trading
2840:Fund of hedge funds
2498:Economy and Society
2480:. PBS. 2000-02-08.
2302:on January 29, 1999
1614:, pp. 125, 130
1349:Limits to arbitrage
1319:Black–Scholes model
1300:The Ascent of Money
1151:Dual-listed company
1145:developed countries
1131:$ 1.3 bn in equity
938:flight to liquidity
922:dual-listed company
698:interest rate swaps
542:Italian swap spread
503:convergence trading
262:Stanford University
163:Black–Scholes model
38:Investment services
21:
3694:Corporate scandals
3343:Metallgesellschaft
3227:Corporate scandals
3041:Technical analysis
2648:Stein, M. (2003):
2642:2020-11-04 at the
2630:2009-03-27 at the
2168:2012-04-19 at the
2138:2021-03-04 at the
2047:2016-12-21 at the
1765:2023-04-26 at the
1669:The New York Times
1591:, pp. 114–116
1573:When Genius Failed
1444:2006-04-27 at the
1421:2021-01-31 at the
1386:Black swan problem
1364:Probability theory
1014:Berkshire Hathaway
998:
838:
493:Trading strategies
283:Harvard University
241:Harvard University
105:Financial services
56:John W. Meriwether
3661:
3660:
3239:South Sea Company
3193:
3192:
3049:
3048:
2852:
2851:
2819:Long/short equity
2795:Convergence trade
2779:Special situation
2605:978-0-8090-4637-9
2598:. Hill and Wang.
2584:978-0-262-13460-6
2577:. The MIT Press.
2426:978-0-316-06637-2
2407:978-0-375-50317-7
2392:Lowenstein, Roger
2371:978-981-283-770-7
2352:978-0-471-89999-0
2327:978-0-07-142966-5
2153:, pp. 207–08
2027:978-0-8050-7510-6
2003:, pp. 203–04
1937:978-0-470-39375-8
1868:, pp. 124–25
1522:978-1-59420-131-8
1489:978-1-84614-106-5
1030:James G. Rickards
926:Royal Dutch Shell
690:off-balance sheet
471:
470:
376:
375:
114:
113:
3731:
3699:Financial crises
3654:
3647:
3634:
3626:
3618:
3610:
3602:
3594:
3586:
3578:
3570:
3562:
3554:
3546:
3538:
3530:
3522:
3514:
3511:2G spectrum case
3506:
3498:
3490:
3487:Anglo Irish Bank
3482:
3474:
3466:
3463:Société Générale
3458:
3450:
3442:
3434:
3426:
3418:
3410:
3402:
3394:
3386:
3378:
3370:
3362:
3354:
3346:
3338:
3330:
3322:
3314:
3306:
3298:
3290:
3282:
3274:
3271:Banco Ambrosiano
3266:
3258:
3250:
3242:
3220:
3213:
3206:
3197:
3183:
3182:
3173:
3172:
3163:
3162:
3153:
3152:
3096:Investment banks
2943:Foreign exchange
2913:
2860:
2700:
2680:
2673:
2666:
2657:
2609:
2588:
2567:
2562:. Archived from
2550:
2531:
2513:
2492:
2490:
2489:
2467:
2456:
2454:
2453:
2430:
2411:
2400:. Random House.
2387:
2375:
2356:
2331:
2310:
2308:
2307:
2298:. Archived from
2275:
2274:
2272:
2271:
2247:
2241:
2240:
2238:
2236:
2227:. July 8, 2009.
2215:
2209:
2203:
2197:
2191:
2185:
2179:
2173:
2160:
2154:
2148:
2142:
2130:
2124:
2119:
2113:
2112:
2110:
2109:
2095:
2089:
2088:
2086:
2085:
2070:
2064:
2061:
2055:
2038:
2032:
2031:
2010:
2004:
1998:
1992:
1986:
1980:
1974:
1968:
1962:
1956:
1951:
1942:
1941:
1917:
1911:
1910:
1908:
1907:
1887:
1881:
1875:
1869:
1863:
1857:
1856:
1830:
1824:
1823:, pp. 95–97
1818:
1812:
1811:
1809:
1807:
1798:. Archived from
1795:Business Insider
1785:
1770:
1757:
1751:
1745:
1739:
1738:
1698:
1692:
1691:
1689:
1688:
1660:
1654:
1648:
1639:
1633:
1627:
1621:
1615:
1609:
1603:
1598:
1592:
1586:
1580:
1579:
1569:
1563:
1562:
1560:
1554:. Archived from
1553:
1545:
1539:
1533:
1527:
1526:
1510:
1500:
1494:
1493:
1473:
1464:
1458:
1449:
1436:
1430:
1413:
1304:
1297:Niall Ferguson,
1257:Business Insider
1189:Price Waterhouse
1139:emerging markets
1084:Société Générale
785:Early skepticism
771:merger arbitrage
762:James Surowiecki
716:Zombie Economics
587:Emerging Markets
539:Swap curve Japan
511:government bonds
465:Robert C. Merton
455:
448:
441:
406:Robert C. Merton
383:Salomon Brothers
305:William Krasker
231:Robert C. Merton
220:Salomon Brothers
201:
187:recapitalization
155:Robert C. Merton
147:Salomon Brothers
125:highly leveraged
91:Robert C. Merton
29:
22:
3739:
3738:
3734:
3733:
3732:
3730:
3729:
3728:
3664:
3663:
3662:
3657:
3650:
3645:
3637:
3629:
3621:
3613:
3605:
3597:
3589:
3581:
3573:
3565:
3561:(2013–ongoing)
3557:
3549:
3541:
3533:
3525:
3521:(2010–ongoing)
3517:
3509:
3501:
3493:
3485:
3477:
3469:
3461:
3453:
3445:
3437:
3429:
3421:
3413:
3405:
3397:
3389:
3381:
3373:
3365:
3357:
3349:
3341:
3333:
3325:
3317:
3309:
3301:
3293:
3285:
3277:
3269:
3261:
3253:
3245:
3237:
3229:
3224:
3194:
3189:
3141:
3127:Fund governance
3115:
3045:
2969:Absolute return
2957:
2908:
2902:
2893:Program trading
2888:Prime brokerage
2861:
2848:
2828:
2824:Trend following
2809:Dedicated short
2783:
2750:
2707:
2695:
2689:
2684:
2644:Wayback Machine
2632:Wayback Machine
2606:
2591:
2585:
2570:
2553:
2547:
2534:
2511:10.1.1.457.9895
2495:
2487:
2485:
2470:
2459:
2451:
2449:
2440:
2437:
2435:Further reading
2427:
2414:
2408:
2390:
2379:
2372:
2359:
2353:
2334:
2328:
2313:
2305:
2303:
2287:
2284:
2279:
2278:
2269:
2267:
2249:
2248:
2244:
2234:
2232:
2217:
2216:
2212:
2206:Lowenstein 2000
2204:
2200:
2194:Lowenstein 2000
2192:
2188:
2182:Lowenstein 2000
2180:
2176:
2170:Wayback Machine
2161:
2157:
2151:Lowenstein 2000
2149:
2145:
2140:Wayback Machine
2131:
2127:
2122:Lowenstein 2000
2120:
2116:
2107:
2105:
2097:
2096:
2092:
2083:
2081:
2072:
2071:
2067:
2062:
2058:
2049:Wayback Machine
2039:
2035:
2028:
2012:
2011:
2007:
2001:Lowenstein 2000
1999:
1995:
1989:Lowenstein 2000
1987:
1983:
1977:Lowenstein 2000
1975:
1971:
1965:Lowenstein 2000
1963:
1959:
1954:Lowenstein 2000
1952:
1945:
1938:
1919:
1918:
1914:
1905:
1903:
1889:
1888:
1884:
1878:Lowenstein 2000
1876:
1872:
1866:Lowenstein 2000
1864:
1860:
1845:
1832:
1831:
1827:
1821:Lowenstein 2000
1819:
1815:
1805:
1803:
1787:
1786:
1773:
1767:Wayback Machine
1758:
1754:
1748:Lowenstein 2000
1746:
1742:
1700:
1699:
1695:
1686:
1684:
1662:
1661:
1657:
1649:
1642:
1634:
1630:
1622:
1618:
1610:
1606:
1599:
1595:
1587:
1583:
1571:
1570:
1566:
1558:
1551:
1547:
1546:
1542:
1534:
1530:
1523:
1502:
1501:
1497:
1490:
1475:
1474:
1467:
1459:
1452:
1446:Wayback Machine
1437:
1433:
1423:Wayback Machine
1414:
1399:
1394:
1315:
1305:
1296:
1265:
1214:
1103:Crédit Agricole
1094:Lehman Brothers
1088:$ 100 million:
1082:$ 125 million:
1036:$ 300 million:
982:Lehman Brothers
970:Chase Manhattan
946:
884:
878:
869:
863:
852:Norwegian krone
843:
826:
787:
754:
741:
728:
673:
634:
627:Index arbitrage
612:
594:emerging market
589:
568:
533:Euro Cross-Swap
524:
519:
495:
394:Larry Hilibrand
379:John Meriwether
336:Larry Hilibrand
293:Eric Rosenfeld
281:; Professor at
275:Federal Reserve
260:; Professor at
239:; Professor at
214:John Meriwether
199:
191:Federal Reserve
139:John Meriwether
107:
95:John Meriwether
93:
89:
83:
17:
12:
11:
5:
3737:
3735:
3727:
3726:
3721:
3716:
3711:
3706:
3701:
3696:
3691:
3686:
3681:
3676:
3666:
3665:
3659:
3658:
3656:
3655:
3648:
3642:
3639:
3638:
3636:
3635:
3627:
3619:
3611:
3603:
3595:
3593:(2016–ongoing)
3587:
3585:(2015–ongoing)
3579:
3571:
3569:(2013–ongoing)
3563:
3555:
3547:
3539:
3531:
3523:
3515:
3507:
3499:
3491:
3483:
3475:
3467:
3459:
3451:
3443:
3435:
3427:
3419:
3411:
3403:
3395:
3387:
3379:
3371:
3363:
3355:
3347:
3339:
3331:
3323:
3319:Robert Maxwell
3315:
3307:
3299:
3295:Bofors scandal
3291:
3283:
3275:
3267:
3259:
3251:
3243:
3234:
3231:
3230:
3225:
3223:
3222:
3215:
3208:
3200:
3191:
3190:
3188:
3187:
3177:
3167:
3157:
3146:
3143:
3142:
3140:
3139:
3134:
3129:
3123:
3121:
3117:
3116:
3114:
3113:
3108:
3103:
3101:Merchant banks
3098:
3093:
3088:
3083:
3078:
3073:
3068:
3066:Family offices
3063:
3057:
3055:
3051:
3050:
3047:
3046:
3044:
3043:
3038:
3033:
3028:
3026:Securitization
3023:
3018:
3013:
2995:
2981:
2976:
2971:
2965:
2963:
2959:
2958:
2956:
2955:
2950:
2945:
2940:
2935:
2930:
2925:
2919:
2917:
2910:
2904:
2903:
2901:
2900:
2895:
2890:
2885:
2880:
2875:
2869:
2867:
2863:
2862:
2855:
2853:
2850:
2849:
2847:
2846:
2836:
2834:
2830:
2829:
2827:
2826:
2821:
2816:
2811:
2806:
2797:
2791:
2789:
2785:
2784:
2782:
2781:
2776:
2774:Risk arbitrage
2771:
2766:
2760:
2758:
2752:
2751:
2749:
2748:
2743:
2738:
2729:
2724:
2719:
2713:
2711:
2709:relative value
2697:
2691:
2690:
2685:
2683:
2682:
2675:
2668:
2660:
2654:
2653:
2646:
2634:
2622:
2616:
2610:
2604:
2589:
2583:
2568:
2566:on 2011-02-24.
2560:The New Yorker
2551:
2545:
2532:
2504:(3): 349–380.
2493:
2468:
2457:
2436:
2433:
2432:
2431:
2425:
2412:
2406:
2388:
2377:
2370:
2357:
2351:
2332:
2326:
2311:
2283:
2280:
2277:
2276:
2242:
2210:
2198:
2186:
2174:
2155:
2143:
2125:
2114:
2090:
2065:
2056:
2052:welling@weeden
2033:
2026:
2014:Partnoy, Frank
2005:
1993:
1981:
1969:
1957:
1943:
1936:
1912:
1882:
1870:
1858:
1843:
1825:
1813:
1771:
1752:
1740:
1713:(2): 149–170.
1693:
1655:
1640:
1628:
1616:
1604:
1593:
1581:
1564:
1561:on 2015-09-23.
1540:
1528:
1521:
1495:
1488:
1465:
1450:
1431:
1396:
1395:
1393:
1390:
1389:
1388:
1383:
1376:
1371:
1366:
1361:
1356:
1351:
1346:
1341:
1339:James Rickards
1336:
1331:
1326:
1321:
1314:
1311:
1294:
1269:Niall Ferguson
1264:
1261:
1241:Alan Greenspan
1213:
1210:
1185:
1184:
1177:
1170:
1163:
1154:
1147:
1141:
1135:
1129:
1107:
1106:
1096:
1086:
1080:
1070:Morgan Stanley
1019:Warren Buffett
945:
942:
880:Main article:
877:
874:
865:Main article:
862:
859:
842:
839:
825:
822:
818:Charlie Munger
814:Warren Buffett
803:Paul Samuelson
786:
783:
753:
750:
740:
739:UBS investment
737:
727:
724:
712:John Quiggin's
706:equity options
672:
669:
656:One core trade
633:
630:
629:
628:
625:
622:
619:
611:
608:
607:
606:
600:
597:
588:
585:
584:
583:
580:
578:Risk arbitrage
575:
567:
564:
563:
562:
554:
551:
543:
540:
537:
534:
531:
523:
520:
518:
515:
494:
491:
469:
468:
457:
456:
449:
428:Cayman Islands
398:Victor Haghani
374:
373:
367:
365:Victor Haghani
361:
360:
357:
353:
352:
349:
348:James McEntee
345:
344:
338:
332:
331:
320:
314:
313:
306:
302:
301:
294:
290:
289:
287:Alan Greenspan
271:
265:
264:
256:model; Ph.D.,
250:
244:
243:
233:
227:
226:
216:
210:
209:
206:
205:
204:LTCM Partners
198:
195:
112:
111:
102:
98:
97:
84:
81:
78:
77:
71:
67:
66:
63:
59:
58:
53:
49:
48:
45:
41:
40:
35:
31:
30:
15:
13:
10:
9:
6:
4:
3:
2:
3736:
3725:
3722:
3720:
3717:
3715:
3712:
3710:
3707:
3705:
3702:
3700:
3697:
3695:
3692:
3690:
3687:
3685:
3682:
3680:
3677:
3675:
3672:
3671:
3669:
3653:
3649:
3644:
3643:
3640:
3632:
3628:
3624:
3620:
3616:
3612:
3608:
3604:
3600:
3596:
3592:
3588:
3584:
3580:
3576:
3572:
3568:
3564:
3560:
3556:
3552:
3548:
3544:
3540:
3536:
3532:
3528:
3524:
3520:
3516:
3512:
3508:
3504:
3500:
3496:
3492:
3488:
3484:
3480:
3476:
3472:
3468:
3464:
3460:
3456:
3452:
3448:
3444:
3440:
3436:
3432:
3428:
3424:
3420:
3416:
3412:
3408:
3404:
3400:
3396:
3392:
3388:
3384:
3380:
3376:
3372:
3368:
3364:
3360:
3356:
3352:
3348:
3344:
3340:
3336:
3332:
3328:
3324:
3320:
3316:
3312:
3308:
3304:
3300:
3296:
3292:
3288:
3284:
3280:
3279:Carrian Group
3276:
3272:
3268:
3264:
3260:
3256:
3252:
3248:
3244:
3240:
3236:
3235:
3232:
3228:
3221:
3216:
3214:
3209:
3207:
3202:
3201:
3198:
3186:
3178:
3176:
3168:
3166:
3158:
3156:
3148:
3147:
3144:
3138:
3135:
3133:
3130:
3128:
3125:
3124:
3122:
3118:
3112:
3109:
3107:
3106:Pension funds
3104:
3102:
3099:
3097:
3094:
3092:
3089:
3087:
3084:
3082:
3079:
3077:
3074:
3072:
3069:
3067:
3064:
3062:
3061:Vulture funds
3059:
3058:
3056:
3052:
3042:
3039:
3037:
3034:
3032:
3029:
3027:
3024:
3022:
3019:
3017:
3014:
3011:
3007:
3003:
2999:
2996:
2993:
2992:delta neutral
2989:
2985:
2982:
2980:
2977:
2975:
2972:
2970:
2967:
2966:
2964:
2960:
2954:
2951:
2949:
2948:Money markets
2946:
2944:
2941:
2939:
2936:
2934:
2931:
2929:
2926:
2924:
2921:
2920:
2918:
2914:
2911:
2905:
2899:
2896:
2894:
2891:
2889:
2886:
2884:
2881:
2879:
2876:
2874:
2871:
2870:
2868:
2864:
2859:
2845:
2844:Multi-manager
2841:
2838:
2837:
2835:
2831:
2825:
2822:
2820:
2817:
2815:
2812:
2810:
2807:
2805:
2801:
2798:
2796:
2793:
2792:
2790:
2786:
2780:
2777:
2775:
2772:
2770:
2767:
2765:
2762:
2761:
2759:
2757:
2753:
2747:
2744:
2742:
2739:
2737:
2733:
2730:
2728:
2725:
2723:
2720:
2718:
2715:
2714:
2712:
2710:
2705:
2701:
2698:
2692:
2688:
2681:
2676:
2674:
2669:
2667:
2662:
2661:
2658:
2651:
2647:
2645:
2641:
2638:
2635:
2633:
2629:
2626:
2623:
2620:
2617:
2614:
2611:
2607:
2601:
2597:
2596:
2590:
2586:
2580:
2576:
2575:
2569:
2565:
2561:
2557:
2552:
2548:
2546:9780199226450
2542:
2538:
2533:
2529:
2525:
2521:
2517:
2512:
2507:
2503:
2499:
2494:
2483:
2479:
2478:
2473:
2469:
2465:
2464:
2458:
2447:
2443:
2439:
2438:
2434:
2428:
2422:
2418:
2413:
2409:
2403:
2399:
2398:
2393:
2389:
2385:
2384:
2378:
2373:
2367:
2363:
2358:
2354:
2348:
2344:
2340:
2339:
2333:
2329:
2323:
2319:
2318:
2312:
2301:
2297:
2296:
2295:Business Week
2291:
2286:
2285:
2281:
2265:
2261:
2260:CFA Institute
2257:
2253:
2246:
2243:
2230:
2226:
2225:
2220:
2214:
2211:
2208:, p. 236
2207:
2202:
2199:
2196:, p. 235
2195:
2190:
2187:
2184:, p. 102
2183:
2178:
2175:
2171:
2167:
2164:
2159:
2156:
2152:
2147:
2144:
2141:
2137:
2134:
2129:
2126:
2123:
2118:
2115:
2104:
2100:
2094:
2091:
2079:
2075:
2069:
2066:
2060:
2057:
2053:
2050:
2046:
2043:
2037:
2034:
2029:
2023:
2019:
2015:
2009:
2006:
2002:
1997:
1994:
1991:, p. 211
1990:
1985:
1982:
1979:, p. 234
1978:
1973:
1970:
1966:
1961:
1958:
1955:
1950:
1948:
1944:
1939:
1933:
1929:
1925:
1924:
1916:
1913:
1901:
1897:
1893:
1886:
1883:
1879:
1874:
1871:
1867:
1862:
1859:
1854:
1850:
1846:
1844:9780385721707
1840:
1836:
1829:
1826:
1822:
1817:
1814:
1802:on 2021-05-15
1801:
1797:
1796:
1791:
1784:
1782:
1780:
1778:
1776:
1772:
1768:
1764:
1761:
1756:
1753:
1750:, p. 191
1749:
1744:
1741:
1736:
1732:
1728:
1724:
1720:
1716:
1712:
1708:
1704:
1697:
1694:
1682:
1678:
1674:
1670:
1666:
1659:
1656:
1653:, p. 142
1652:
1647:
1645:
1641:
1638:, p. 130
1637:
1632:
1629:
1626:, p. 120
1625:
1620:
1617:
1613:
1608:
1605:
1602:
1597:
1594:
1590:
1585:
1582:
1578:
1574:
1568:
1565:
1557:
1550:
1544:
1541:
1537:
1532:
1529:
1524:
1518:
1514:
1509:
1508:
1499:
1496:
1491:
1485:
1481:
1480:
1472:
1470:
1466:
1462:
1457:
1455:
1451:
1447:
1443:
1440:
1435:
1432:
1428:
1424:
1420:
1417:
1412:
1410:
1408:
1406:
1404:
1402:
1398:
1391:
1387:
1384:
1382:
1381:
1377:
1375:
1374:Value at risk
1372:
1370:
1367:
1365:
1362:
1360:
1357:
1355:
1352:
1350:
1347:
1345:
1344:Kurtosis risk
1342:
1340:
1337:
1335:
1334:Greenspan put
1332:
1330:
1327:
1325:
1322:
1320:
1317:
1316:
1312:
1310:
1302:
1301:
1293:
1291:
1287:
1283:
1279:
1278:value at risk
1273:
1270:
1262:
1260:
1258:
1254:
1249:
1246:
1242:
1238:
1232:
1230:
1226:
1223:
1219:
1211:
1209:
1205:
1203:
1199:
1198:Greenspan put
1193:
1190:
1182:
1178:
1175:
1171:
1168:
1164:
1162:
1159:
1155:
1152:
1148:
1146:
1142:
1140:
1136:
1134:
1130:
1128:
1124:
1123:
1122:
1119:
1117:
1116:vicious cycle
1111:
1104:
1100:
1097:
1095:
1091:
1087:
1085:
1081:
1079:
1075:
1071:
1067:
1063:
1062:Merrill Lynch
1059:
1058:Goldman Sachs
1055:
1054:Deutsche Bank
1051:
1047:
1043:
1039:
1038:Bankers Trust
1035:
1034:
1033:
1031:
1027:
1022:
1020:
1015:
1011:
1007:
1006:Goldman Sachs
1002:
995:
991:
987:
986:Merrill Lynch
983:
979:
975:
974:Goldman Sachs
971:
967:
963:
962:Bankers Trust
959:
955:
950:
943:
941:
939:
934:
932:
931:pairs trading
927:
923:
917:
913:
910:
905:
902:
901:Michael Lewis
897:
892:
890:
883:
875:
873:
868:
860:
858:
855:
853:
847:
840:
835:
830:
823:
821:
819:
815:
811:
808:
804:
800:
796:
792:
784:
782:
780:
776:
772:
766:
763:
758:
751:
749:
747:
738:
736:
732:
725:
723:
721:
717:
713:
709:
707:
703:
699:
695:
691:
687:
682:
679:
670:
668:
666:
661:
657:
653:
648:
643:
642:treasury bond
638:
631:
626:
623:
620:
617:
614:
613:
609:
605:
601:
598:
595:
591:
590:
586:
581:
579:
576:
573:
570:
569:
565:
561:
558:
555:
552:
550:
547:
544:
541:
538:
535:
532:
530:
526:
525:
521:
516:
514:
512:
508:
504:
499:
492:
490:
488:
484:
480:
476:
466:
462:
461:Myron Scholes
458:
454:
450:
447:
443:
442:
439:
437:
436:Merrill Lynch
433:
429:
425:
421:
416:
415:
411:
407:
403:
402:Myron Scholes
399:
395:
390:
388:
384:
380:
372:
368:
366:
363:
362:
358:
355:
354:
350:
347:
346:
343:
339:
337:
334:
333:
329:
325:
321:
319:
316:
315:
311:
307:
304:
303:
299:
295:
292:
291:
288:
284:
280:
276:
272:
270:
267:
266:
263:
259:
255:
254:Black–Scholes
252:Co-author of
251:
249:
248:Myron Scholes
246:
245:
242:
238:
234:
232:
229:
228:
225:
221:
215:
211:
207:
202:
196:
194:
192:
188:
184:
180:
176:
172:
166:
164:
160:
156:
152:
151:Myron Scholes
148:
144:
140:
135:
133:
129:
126:
122:
118:
110:
106:
103:
99:
96:
92:
88:
87:Myron Scholes
85:
79:
75:
72:
68:
64:
60:
57:
54:
50:
46:
42:
39:
36:
32:
28:
23:
3513:(2010–2019)
3471:Bear Stearns
3390:
3359:Barings Bank
2938:Fixed income
2814:Global macro
2756:Event-driven
2649:
2621:austhink.org
2594:
2573:
2564:the original
2559:
2556:"Blowing Up"
2536:
2501:
2497:
2486:. Retrieved
2475:
2461:
2450:. Retrieved
2416:
2396:
2381:
2361:
2341:. New York:
2337:
2316:
2304:. Retrieved
2300:the original
2293:
2282:Bibliography
2268:. Retrieved
2255:
2245:
2233:. Retrieved
2222:
2213:
2201:
2189:
2177:
2158:
2146:
2128:
2117:
2106:. Retrieved
2102:
2093:
2082:. Retrieved
2068:
2059:
2051:
2036:
2017:
2008:
1996:
1984:
1972:
1967:, p. 99
1960:
1922:
1915:
1904:. Retrieved
1895:
1885:
1880:, p. xv
1873:
1861:
1834:
1828:
1816:
1804:. Retrieved
1800:the original
1793:
1755:
1743:
1710:
1706:
1696:
1685:. Retrieved
1668:
1658:
1631:
1619:
1607:
1596:
1584:
1576:
1572:
1567:
1556:the original
1543:
1531:
1506:
1498:
1477:
1460:
1434:
1427:Region Focus
1426:
1378:
1307:
1298:
1275:
1266:
1256:
1253:JWM Partners
1250:
1233:
1229:in-the-money
1215:
1206:
1202:moral hazard
1194:
1186:
1172:$ 100 mn in
1165:$ 203 mn in
1156:$ 215 mn in
1149:$ 286 mn in
1125:$ 1.6 bn in
1120:
1112:
1108:
1099:Bear Stearns
1023:
1003:
999:
966:Bear Stearns
957:
944:1998 bailout
935:
918:
914:
906:
893:
885:
870:
856:
848:
844:
812:
791:Seth Klarman
788:
767:
759:
755:
742:
733:
729:
715:
710:
683:
674:
639:
635:
572:Short equity
546:Fixed income
500:
496:
475:mutual funds
472:
432:Bear Stearns
417:
410:Greg Hawkins
391:
387:Chi-fu Huang
377:
351:Bond trader
328:Bill Clinton
326:; worked on
318:Greg Hawkins
182:
181:hedge fund,
167:
136:
120:
116:
115:
70:Headquarters
3704:Hedge funds
3553:(2012–2013)
3497:(2008–2015)
3489:(2008–2011)
3481:(2008–2012)
3441:(2003-2005)
3385:(1999-2006)
3165:Hedge funds
2928:Derivatives
2923:Commodities
2878:Day trading
2788:Directional
2687:Hedge funds
1651:Dunbar 2000
1636:Dunbar 2000
1624:Dunbar 2000
1612:Dunbar 2000
1601:Loomis 1998
1589:Dunbar 2000
1536:Dunbar 2000
1329:Game theory
1276:The firm's
1225:put options
1167:S&P 500
1158:yield curve
978:J.P. Morgan
807:Eugene Fama
795:Mitch Kapor
775:S&P 500
720:speculation
702:derivatives
665:yield curve
616:Yield curve
604:S&P 500
529:swap spread
463:(left) and
356:Dick Leahy
145:trading at
3668:Categories
3607:Moser Baer
3303:Polly Peck
3120:Governance
2694:Investment
2488:2017-09-04
2452:2009-11-16
2306:2006-09-04
2270:2020-10-11
2235:11 January
2108:2020-10-31
2084:2017-03-08
1906:2015-08-22
1687:2015-08-22
1290:Depression
1267:Historian
1133:volatility
1066:J.P.Morgan
660:sell short
596:sovereigns
574:volatility
549:volatility
128:hedge fund
82:Key people
3255:Salad Oil
3054:Investors
2704:Arbitrage
2615:erisk.com
2528:145790602
2506:CiteSeerX
1735:220355463
1727:1356-3467
1677:0362-4331
1212:Aftermath
1183:arbitrage
1176:arbitrage
1174:junk bond
1161:arbitrage
896:arbitrage
560:arbitrage
557:Junk bond
527:Short US
507:Fed model
3646:See also
3615:Wirecard
3439:Parmalat
3431:WorldCom
3423:Adelphia
3287:Guinness
2696:strategy
2640:Archived
2628:Archived
2482:Archived
2446:Archived
2394:(2000).
2264:Archived
2229:Archived
2166:Archived
2136:Archived
2103:Barron's
2078:Archived
2045:Archived
2016:(2003).
1900:Archived
1853:61254310
1763:Archived
1681:Archived
1442:Archived
1419:Archived
1313:See also
1295:—
1263:Analysis
1042:Barclays
958:pictured
824:Downturn
704:such as
696:such as
678:leverage
652:Treasury
420:Delaware
277:; Ph.D.
197:Founding
123:) was a
101:Products
34:Industry
3575:Toshiba
3545:(2012)
3535:Olympus
3407:One.Tel
3335:Banesto
3297:(1990)
2916:Markets
2907:Related
2866:Trading
2383:Fortune
2224:Reuters
1806:12 July
1513:193–195
1237:Mullins
1222:writing
1090:Paribas
381:headed
222:; MBA,
62:Defunct
52:Founder
44:Founded
3633:(2021)
3625:(2020)
3623:Nikola
3617:(2020)
3609:(2019)
3601:(2018)
3577:(2015)
3537:(2011)
3529:(2011)
3505:(2009)
3503:Satyam
3473:(2008)
3465:(2008)
3457:(2005)
3449:(2004)
3433:(2002)
3425:(2002)
3417:(2001)
3409:(2001)
3401:(2000)
3393:(2000)
3383:Daewoo
3377:(1997)
3369:(1996)
3361:(1995)
3353:(1993)
3345:(1993)
3337:(1993)
3329:(1992)
3321:(1991)
3313:(1990)
3305:(1990)
3289:(1986)
3281:(1983)
3273:(1982)
3265:(1971)
3257:(1963)
3249:(1890)
3241:(1720)
2988:Greeks
2933:Equity
2602:
2581:
2543:
2526:
2508:
2423:
2404:
2368:
2349:
2324:
2024:
1934:
1928:97–124
1851:
1841:
1733:
1725:
1675:
1519:
1486:
1181:merger
1169:stocks
1012:, and
992:, and
924:(DLC)
647:liquid
618:trades
566:Equity
179:master
177:. The
76:, U.S.
3567:Forex
3479:Libor
3415:Enron
3399:CINAR
3031:Short
3021:Hedge
3002:alpha
2909:terms
2833:Other
2524:S2CID
2343:Wiley
1731:S2CID
1559:(PDF)
1552:(PDF)
1392:Notes
1127:swaps
1046:Chase
714:book
645:less
610:Other
592:Long
3447:Tyco
3006:beta
2962:Misc
2600:ISBN
2579:ISBN
2541:ISBN
2477:Nova
2421:ISBN
2402:ISBN
2366:ISBN
2347:ISBN
2322:ISBN
2237:2018
2022:ISBN
1932:ISBN
1849:OCLC
1839:ISBN
1808:2024
1723:ISSN
1673:ISSN
1517:ISBN
1484:ISBN
1101:and
1092:and
952:The
889:CSFB
816:and
779:vega
404:and
396:and
173:and
153:and
143:bond
121:LTCM
47:1994
3551:OCZ
2516:doi
1715:doi
1245:Fed
1078:UBS
1010:AIG
371:LSE
342:MIT
324:MIT
310:MIT
298:MIT
279:MIT
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