The crisis of crowding : quant copycats, ugly models, and the new crash normal /

"A rare analytical look at the financial crisis using simple analysisThe 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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chincarini, Ludwig B.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : John Wiley & Sons, 2012.
Edición:1.
Colección:Bloomberg.
Temas:
Long-term Capital Management (Firm)
2000-2099
Financial crises > United States > History > 21st century.
Global Financial Crisis, 2008-2009.
Crise financière mondiale, 2008-2009.
BUSINESS & ECONOMICS > Finance.
Financial crises
United States
History
Acceso en línea:Texto completo
Tabla de Contenidos:
  • The Short U.S. Swap TradeThe European Cross-Country Swap Trade (Short UK and Long Europe)
  • Long U.S. Mortgage Securities Hedged
  • The Box Spread in Japan
  • The Italian Swap Spread
  • Fixed-Income Volatility Trades
  • The On-the-Run and Off-the-Run Trade
  • Short Longer-Term Equity Index Volatility
  • Risk Arbitrage Trades
  • Equity Relative-Value Trades
  • Emerging Market Trades
  • Other Trades
  • The Portfolio of Trades
  • Chapter 5: The Collapse The Collapse
  • Early Summer 1998
  • The Salomon Shutdown
  • The Russian Default
  • The Phone Calls
  • ""The Meriwether Letter""""Buffett’s Hostile Alaskan Offer""; ""The Consortium Bailout""; ""Too Big To Fail""; ""Why Did It Happen?""; ""Appendix 5.1 The John Meriwether Letter""; ""Appendix 5.2 The Warren Buffett Letter""; ""Chapter 6: The Fate of LTCM Investors The Fate of LTCM Investors""; ""Chapter 7: General Lessons from the Collapse""; ""Interconnected Crowds""; ""VaR""; ""Leverage""; ""Clearinghouses""; ""Compensation""; ""What’s Size Got to Do with It?""; ""Contingency Capital""; ""The Fed Is a Coordinator of Last Resort""; ""Counterparty Due Diligence""; ""Spread the Love""
  • Quantitative Theory Did Not Cause the LTCM CollapseDéjà Vu
  • Part II: The Financial Crisis of 2008
  • Chapter 8: The Quant Crisis
  • The Subprime Mortgage Market Collapse
  • What Was the Quant Crisis?
  • The Erratic Behavior of Quant Factors
  • Causes of the Quant Crisis
  • The Shed Show
  • Chapter 9: The Bear Stearns Collapse
  • A Brief History of the Bear
  • Shadow Banking
  • Window Dressing
  • Repo Power
  • The Unexpected Hibernation
  • The Polar Spring
  • Chapter 10: Money for Nothing and Fannie and Freddie for Free
  • The Basic Business
  • Whereâ€"! the Risk?CDO and CDO2
  • The Gigantic Hedge Fund
  • Big-Time Profits
  • The U.S. Housing Bubble
  • The Circle of Greed
  • Freddie and Fannieâ€"! Foreclosure
  • Why Save Freddie and Fannie?
  • Did Anyone Know?
  • Chapter 11: The Lehman Bankruptcy
  • The Wall Street Club
  • Why Was Lehman Next?
  • Business Exposure
  • A Chronology of the Gorillaâ€"! Death
  • A Classic Run on the Bank
  • Why Let Lehman Fail?
  • Who Was at Fault?
  • Who Would Have Been Next?
  • The Spoils of Having Friends in High Places
  • THE CRISIS OF CROWDING
  • Contents
  • Foreword
  • Preface
  • Cast of Characters
  • CHAPTER 1 Introduction
  • PART I: THE 1998 LTCM CRISIS
  • CHAPTER 2 Meriwether's Magic Money Tree
  • The Birth of Bond Arbitrage
  • The Dream Team
  • Early Success
  • CHAPTER 3 Risk Management
  • The General Idea
  • Leverage
  • Measuring Risk
  • The?
  • Economics
  • Copycats, Puppies, and Counterparties
  • LTCM's Actual Risk Management Practices
  • Diversification
  • Operations
  • The Raw Evidence
  • CHAPTER 4 The Trades
  • The Short U.S. Swap Trade
  • The European Cross-Country Swap Trade (Short UK and Long Europe)
  • Long U.S. Mortgage Securities Hedged
  • The Box Spread in Japan
  • The Italian Swap Spread
  • Fixed-Income Volatility Trades
  • The On-the-Run and Off-the-Run Trade
  • Short Longer-Term Equity Index Volatility
  • Risk Arbitrage Trades
  • Equity Relative-Value Trades
  • Emerging Market Trades
  • Other Trades
  • The Portfolio of Trades
  • CHAPTER 5 The Collapse
  • Early Summer 1998
  • The Salomon Shutdown
  • The Russian Default
  • The Phone Calls
  • The Meriwether Letter
  • Buffett's Hostile Alaskan Offer
  • The Consortium Bailout
  • Too Big To Fail
  • Why Did It Happen
  • Appendix 5.1 The John Meriwether Letter
  • Appendix 5.2 The Warren Buffett Letter
  • CHAPTER 6 The Fate of LTCM Investors
  • CHAPTER 7 General Lessons from the Collapse
  • Interconnected Crowds
  • VaR
  • Leverage
  • Clearinghouses
  • Compensation
  • What's Size Got to Do with It
  • Contingency Capital
  • The Fed Is a Coordinator of Last Resort
  • Counterparty Due Diligence
  • Spread the Love
  • Quantitative Theory Did Not Cause the LTCM Collapse
  • Déjà Vu
  • PART II: THE FINANCIAL CRISIS OF 2008
  • CHAPTER 8 The Quant Crisis
  • The Subprime Mortgage Market Collapse
  • What Was the Quant Crisis
  • The Erratic Behavior of Quant Factors
  • Standard Factors.

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