Long-term capital management (ltcm)
Liquidation cost: why mark-to-market values are wrong
Original headline:
Source: Risk magazine
Equity portfolios are marked-to-market on the assumption that each share will recoup that amount of cash – but exiting large positions has a market impact, wiping out value. New research indicates this...
Original headline:
Source: Operational Risk & Regulation
An effort to assess systemic risk on the buy side is helpful, but regulators need to remember that the root of the problem is still the sell side, writes Peter Laurens
Original headline:
Source: Risk magazine
Quants received a lot of flak for the crisis, but the profession is on the cusp of a golden age, according to Myron Scholes, co-inventor of the Black-Scholes pricing model. In an interview with Laurie...
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More Long-term capital management (ltcm) articles
LTCM had 'too much risk to be sustainable' says Myron Scholes
Published online only
Source: Risk magazine
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
Dodd-Frank is forcing regulators to proceed at "extraordinary pace...
Original headline:
Source: Credit
The departing head of the risk division at the SEC talks about the difficulty of bringing the regulator up to the level of the rest of the industry in terms of calibre of staff and awareness of product innovation.
West failed to learn lessons from Asian Financial Crisis
Original headline:
Source: Asia Risk
Western policy-makers failed to take sufficient action to reform financial regulations following the Asian Financial Crisis and the near-collapse of Long-Term Capital Management in 1997 and 1998, according to senior policy-makers attending the Asian Financial...
Financial reform will not lose steam, says Australia’s Bowen
Published online only
Source: Asia Risk
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 so many nations, so severely, that it would be very...
Stress-test success masks bigger problem with banks
Published online only
Source: Risk magazine
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 efforts to deal with toxic assets.
Now it's op risk's turn to take centre stage
Original headline:
Source: Operational Risk & Regulation
It's official. Operational risk has just as much potential to be systemic as credit and market risk. Here's hoping this will generate a bit more R-E-S-P-E-C-T among the general risk community for a discipline that aficionados of this magazine already...
Legal spotlight
Published online only
Source: Operational Risk & Regulation
In our new series bringing legal issues under the spotlight, Simon Gleeson, partner in Allen & Overy's regulatory group in London, outlines the key regulatory changes now shaping the bond markets
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