Long-Term Capital Management (LTCM)
The cost of liquidation
Form PF and the debate on buy-side risk
Quants' golden age
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Long-Term Capital Management (LTCM) articles
Collapse of Long Term Capital Management was due to excessive leverage and shows the perils of an over-reliance on classical portfolio theory, says one of its top quants
Profile: Henry Hu
‘Hard fought’ battles expected ahead over scale and scope of new financial regulation
The recovery from the financial crisis is unlikely to reduce the momentum for global financial reform, according to Australia's minister for financial services, Chris Bowen. "This crisis has affected...
The US government's bank stress tests appear to have been successful in stabilising financial markets, but some market observers believe they are obscuring broader systemic problems and could hamper...
What would happen if one of the world's largest investment banks pulled out of derivatives? Risk managers at Deutsche Bank and JP Morgan Chase are already building this scenario into their stress-te...
“There is no evidence to support the assertion that VAR-based risk management systems destabilise the financial system,” says University of California at Irvine professor Philippe Jorion, in a p...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.