Long-term capital management (ltcm)
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...
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
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...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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
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.
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...
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...
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.
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...
Connie Voldstad was head of JP Morgan's first dedicated swaps desk, established Merrill Lynch's AAA-rated derivatives product company, and was one of the six-strong team charged with winding down Long-Term Capital Management. His latest project is a new...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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