32

475-484

10

 

Risk Books (Visit publisher website)

2003

English

 

 

 

Non-Technical

 

 

Risk management, case studies, long-term capital management, bond-arbitrage, relative-value, convergence-arbitrage, leverage, off balance sheet position, target risk, portfolio management, value-at-risk, Man in White Coat syndrome, liquidity, Russian default of 1998, Risk Aggregator, diversification, aggressive trading practices, fallout from the LTCM fiasco

 

This chapter discusses lessons from the LTCM story, drawing from the excellent books by Dunbar (2000), and Lowenstein (2000), and from the quantitative analysis in Jorian (2000). Each account brings a different perspective to the LTCM. In “Inventing Money,” Dunbar places the LTCM story in the context of the growth of financial derivatives. The book is best appreciated by readers already familiar with derivatives. Lowenstein places more emphasis on personal interactions at LTCM, based on interviews with key players.

 

If you are interested in purchasing the book, please click here.

 

From the Publisher:
Covers the theories, models, measures, applications, software and regulation issues that have shaped the industry and offers an abundance of realistic and considered future perspectives
Includes new perspectives on various risk related issues as well as new case-studies on derivatives disasters and rogue trading
Each contributing author represents the pinnacle of their respective field including: John Hull, Mark Rubinstein and Robert Jarrow, Paul Samuelson and Robert Merton
Features anecdotal autobiographies from leading risk and finance figures in the field including, Nobel prize winners
A single-source volume covering every major theory and model - the definitive reference tool for the risk management professional or academic