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The Crisis of Crowding : Quant Copycats, Ugly Models, and the New Crash Normal: Chincarini, Ludwig B./ Litterman, Bob (FRW): BOOKS KINOKUNIYA
詳細
The Crisis of Crowding : Quant Copycats, Ugly Models, and the New Crash Normal
The Crisis of Crowding : Quant Copycats, Ugly Models, and the New Crash Normal
出版社 : Bloomberg Pr
出版年月 : 2012/07
Binding : Hardcover
ISBN : 9781118250020

BookWeb価格 : MYR 127.80
会員価格 : MYR 115.02

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言語 : English
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内容情報
Source: ENG
Place of Publication: United States
Academic Level: Graduate
Geographic Designator: United States
Table of Contents
 
Foreword                                           xv
Preface                                            xix
Cast of Characters                                 xxiii
    Chapter 1 Introduction                         1    (4)
  PART I THE 1998 LTCM CRISIS                      5    (116)
    Chapter 2 Meriwether's Magic Money Tree        7    (14)
      The Birth of Bond Arbitrage                  7    (4)
      The Dream Team                               11   (3)
      Early Success                                14   (7)
    Chapter 3 Risk Management                      21   (16)
      The General Idea                             21   (1)
      Leverage                                     22   (1)
      Measuring Risk                               23   (1)
      The ρ                                    24   (3)
        Economics                                  24   (1)
        Copycats, Puppies, and Counterparties      25   (2)
      LTCM's Actual Risk Management Practices      27   (10)
        Diversification                            27   (1)
        Operations                                 28   (1)
        The Raw Evidence                           29   (8)
    Chapter 4 The Trades                           37   (34)
      The Short U.S. Swap Trade                    41   (3)
      The European Cross-Country Swap Trade        44   (2)
      (Short UK and Long Europe)
      Long U.S. Mortgage Securities Hedged         46   (2)
      The Box Spread in Japan                      48   (2)
      The Italian Swap Spread                      50   (2)
      Fixed-Income Volatility Trades               52   (2)
      The On-the-Run and Off-the-Run Trade         54   (3)
      Short Longer-Term Equity Index Volatility    57   (3)
      Risk Arbitrage Trades                        60   (3)
      Equity Relative-Value Trades                 63   (2)
      Emerging Market Trades                       65   (2)
      Other Trades                                 67   (1)
      The Portfolio of Trades                      68   (3)
    Chapter 5 The Collapse                         71   (24)
      Early Summer 1998                            71   (2)
      The Salomon Shutdown                         73   (2)
      The Russian Default                          75   (2)
      The Phone Calls                              77   (2)
      The Meriwether Letter                        79   (2)
      Buffett's Hostile Alaskan Offer              81   (1)
      The Consortium Bailout                       82   (2)
      Too Big To Fail                              84   (1)
      Why Did It Happen?                           85   (4)
      Appendix 5.1 The John Meriwether Letter      89   (4)
      Appendix 5.2 The Warren Buffett Letter       93   (2)
    Chapter 6 The Fate of LTCM Investors           95   (6)
    Chapter 7 General Lessons from the Collapse    101  (20)
      Interconnected Crowds                        101  (1)
      VaR                                          102  (3)
      Leverage                                     105  (3)
      Clearinghouses                               108  (2)
      Compensation                                 110  (1)
      What's Size Got to Do with It?               110  (3)
      Contingency Capital                          113  (1)
      The Fed Is a Coordinator of Last Resort      114  (1)
      Counterparty Due Diligence                   115  (1)
      Spread the Love                              115  (1)
      Quantitative Theory Did Not Cause the        116  (2)
      LTCM Collapse
      Deja Vu                                      118  (3)
  PART II THE FINANCIAL CRISIS OF 2008             121  (188)
    Chapter 8 The Quant Crisis                     123  (18)
      The Subprime Mortgage Market Collapse        127  (2)
      What Was the Quant Crisis?                   129  (1)
      The Erratic Behavior of Quant Factors        130  (4)
        Standard Factors                           130  (3)
        Quantitative Portfolio Factors             133  (1)
      Causes of the Quant Crisis                   134  (3)
      The Shed Show                                137  (4)
    Chapter 9 The Bear Stearns Collapse            141  (14)
      A Brief History of the Bear                  141  (2)
      Shadow Banking                               143  (1)
      Window Dressing                              144  (1)
      Repo Power                                   145  (3)
      The Unexpected Hibernation                   148  (2)
      The Polar Spring                             150  (5)
    Chapter 10 Money for Nothing and Fannie and    155  (36)
    Freddie for Free
      The Basic Business                           157  (1)
      Where's the Risk?                            158  (1)
      CDO and CDO2                                 159  (3)
      The Gigantic Hedge Fund                      162  (3)
      Big-Time Profits                             165  (3)
      The U.S. Housing Bubble                      168  (2)
      The Circle of Greed                          170  (16)
        Real Estate Agents and Mortgage Lender     173  (4)
        Tricks
        Home Owners                                177  (1)
        Profits and Politicians                    177  (3)
        The Media and Regulators                   180  (2)
        Grade Inflation                            182  (3)
        Commercial Banks                           185  (1)
      Freddie and Fannie's Foreclosure             186  (1)
      Why Save Freddie and Fannie?                 187  (1)
      Did Anyone Know?                             188  (3)
    Chapter 11 The Lehman Bankruptcy               191  (42)
      The Wall Street Club                         191  (2)
      Why Was Lehman Next?                         193  (3)
      Business Exposure                            196  (6)
      A Chronology of the Gorilla's Death          202  (15)
        Double Down in Real Estate                 203  (4)
        Mildly Seeking Capital                     207  (6)
        The Final Days                             213  (4)
      A Classic Run on the Bank                    217  (5)
        Why Let Lehman Fail?                       219  (3)
      Who Was at Fault?                            222  (4)
        Lehman Brothers                            222  (2)
        The Counterparties                         224  (1)
        The Government and Market Structure        225  (1)
        The Legal Opinion on the Lehman            225  (1)
        Bankruptcy
      Who Would Have Been Next?                    226  (1)
      The Spoils of Having Friends in High         227  (6)
      Places
    Chapter 12 The Absurdity of Imbalance          233  (12)
      The Long-Dated Swap Imbalance                236  (5)
      The Repo Imbalance                           241  (2)
      The 228 Wasted Resources and the Global      243  (2)
      Run on Banks
    Chapter 13 Asleep in Basel                     245  (8)
      Basel I                                      246  (2)
        The Concept                                246  (1)
        The Problems                               247  (1)
      Basel II                                     248  (2)
        The Concept                                248  (1)
        The Problems                               249  (1)
      Basel and the Financial Crisis               250  (3)
    Chapter 14 The LTCM Spinoffs                   253  (12)
      JWM Partners LLC                             253  (5)
      Platinum Grove Asset Management              258  (1)
      The Others                                   259  (3)
      The Copycat Funds                            262  (3)
    Chapter 15 The End of LTCM's Legacy            265  (24)
      The Bear and the Gorilla Attack              265  (6)
      November Rain                                271  (3)
      What Went Wrong?                             274  (7)
        Market Insanity                            275  (6)
      Bigger Shocks                                281  (1)
      Market Imbalance                             282  (3)
      Deleveraging                                 285  (1)
      Coup de Grace                                286  (3)
    Chapter 16 New and Old Lessons from the        289  (20)
    Financial Crisis
      Interconnectedness and Crowds                289  (2)
      Leverage                                     291  (2)
      Systemic Risk and Too Big to Fail            293  (1)
      Derivatives: The Good, the Bad, and the      294  (3)
      Ugly
      Conflicts of Interest                        297  (1)
      Policy Lessons                               298  (3)
      Risk Management                              301  (1)
      Counterparty Interaction                     302  (2)
      Hedge Funds                                  304  (2)
      The Importance of Arbitrage                  306  (3)
  PART III THE AFTERMATH                           309  (44)
    Chapter 17 The Flash Crash                     311  (12)
      Background                                   312  (1)
      Flash Crash Theories                         313  (2)
        Fat Finger Theory                          314  (1)
        High-Frequency Trader Theory               314  (1)
        Jittery Markets                            315  (1)
      The Real Cause of the Flash Crash            315  (6)
        The Waddell-Reed Trade                     316  (1)
        The Computer Glitch                        317  (2)
        Gone Fishing                               319  (2)
      The Aftermath                                321  (2)
    Chapter 18 Getting Greeked                     323  (16)
      Members Only                                 324  (6)
        The Conditions                             324  (4)
        The Benefits of Membership                 328  (1)
        The Drawbacks of Membership                328  (2)
      The Club's Early Years                       330  (2)
      Getting Greeked                              332  (1)
      Greek Choices                                333  (2)
        Remain a Club Member and Order Finances    333  (1)
        Ditch the Club and Keep the Debt           334  (1)
        Ditch the Club and Ditch the Debt          334  (1)
        The IMF and Euro Packages                  335  (1)
      The EU's Future                              335  (4)
    Chapter 19 The Fairy-Tale Decade               339  (14)
      I Hate Wall Street                           340  (4)
      The Real Costs of the Financial Crisis       344  (2)
      An Avatar's Life Force                       346  (3)
      Economic System Choices                      349  (1)
      The Crisis of Crowds                         350  (1)
      The Wine Arbitrage                           351  (2)
  APPENDIXES                                       353  (44)
      Appendix A The Mathematics of LTCM's         355  (6)
      Risk-Management Framework
        A General Framework                        355  (2)
        A Numerical Example                        357  (1)
        Measuring Risk                             357  (4)
      Appendix B The Mechanics of the Swap         361  (4)
      Spread Trade
        The Long Swap Spread Trade                 361  (1)
        The Short Swap Spread Trade                362  (3)
      Appendix C Derivation of Approximate Swap    365  (4)
      Spread Returns
      Appendix D Methodology to Compute            369  (4)
      Zero-Coupon Daily Returns
      Appendix E Methodology to Compute Swap       373  (2)
      Spread Returns from Zero-Coupon Returns
      Appendix F The Mechanics of the              375  (2)
      On-the-Run and Off-the-Run Trade
      Appendix G The Correlations between LTCM     377  (2)
      Strategies Before and During the Crisis
      Appendix H The Basics of Creative            379  (2)
      Mortgage Accounting
      Appendix I The Business of an Investment     381  (12)
      Bank
        Investment Banking                         381  (1)
        Capital Markets                            382  (1)
        Equities                                   382  (1)
        Equity Cash                                382  (1)
        Equity Derivatives                         383  (1)
        Equity Finance                             384  (1)
        Arbitrage (Proprietary Trading)            384  (1)
        Fixed Income                               385  (1)
        Government and Agency Obligations          385  (1)
        Corporate Debt Securities and Loans        385  (1)
        High-Yield Securities and Leveraged        386  (1)
        Bank Loans
        Money Market Products                      386  (1)
        Mortgage- and Asset-Backed Securities      386  (1)
        Municipal and Tax-Exempt Securities        387  (1)
        Financing                                  387  (1)
        Fixed-Income Derivatives                   388  (1)
        Lehman Brothers Bank                       388  (1)
        Foreign Exchange                           388  (1)
        Global Distribution (Global Sales)         389  (1)
        Research                                   389  (1)
        Client Services                            389  (1)
        Private Client Services (Private Wealth    389  (1)
        Management)
        Private Equity                             390  (1)
        Technology                                 390  (1)
        Corporate and Risk Management              390  (1)
        Summary                                    391  (2)
      Appendix J The Calculation of the BIS        393  (4)
      Capital Adequacy Ratio
        The General Calculation                    393  (2)
        An Example                                 395  (2)
Notes                                              397  (46)
Glossary                                           443  (8)
Bibliography                                       451  (14)
About the Author                                   465  (2)
Index                                              467
 

A rare analytical look at the financial crisis using simple analysis The 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 reasons for the banking collapse are very similar to the reasons that Long-Term Capital Management (LTCM), the largest hedge fund to date, collapsed in 1998. The Crisis of Crowding looks at LTCM in greater detail, with new information, for a more accurate perspective, examining how the subsequent hedge funds started by Meriwether and former partners were destroyed again by the lapse of judgement in allowing Lehman Brothers to fail. Covering the lessons that were ignored during LTCM's collapse but eventually connected to the financial crisis of 2008, the book presents a series of lessons for hedge funds and financial markets, including touching upon the circle of greed from homeowners to real estate agents to politicians to Wall Street.Guides the reader through the real story of Long-Term Capital Management with accurate descriptions, previously unpublished data, and interviews Describes the lessons that hedge funds, as well as the market, should have learned from LTCM's collapse Explores how the financial crisis and LTCM are a global phenomena rooted in failures to account for risk in crowded spaces with leverage Explains why quantitative finance is essential for every financial institution from risk management to valuation modeling to algorithmic trading Is filled with simple quantitative analysis about the financial crisis, from the Quant Crisis of 2007 to the failure of Lehman Brothers to the Flash Crash of 2010 A unique blend of storytelling and sound quantitative analysis, The Crisis of Crowding is one of the first books to offer an analytical look at the financial crisis rather than just an account of what happened. Also included are a layman's guide to the Dodd-Frank rules and what it means for the future, as well as an evaluation of the Fed's reaction to the crisis, QE1, QE2, and QE3.

Contents
Foreword xv Preface xix Cast of Characters xxiii CHAPTER 1 Introduction 1 PART I: THE 1998 LTCM CRISIS 5 CHAPTER 2 Meriwether's MagicMoney Tree 7 The Birth of Bond Arbitrage 7 The Dream Team 11 Early Success 14 CHAPTER 3 Risk Management 21 The General Idea 21 Leverage 22 Measuring Risk 23 The rho 24 Economics 24 Copycats, Puppies, and Counterparties 25 LTCM's Actual Risk Management Practices 27 Diversification 27 Operations 28 The Raw Evidence 29 CHAPTER 4 The Trades 37 The Short U.S. Swap Trade 41 The European Cross-Country Swap Trade (Short UK and Long Europe) 44 Long U.S. Mortgage Securities Hedged 46 The Box Spread in Japan 48 The Italian Swap Spread 50 Fixed-Income Volatility Trades 52 The On-the-Run and Off-the-Run Trade 54 Short Longer-Term Equity Index Volatility 57 Risk Arbitrage Trades 60 Equity Relative-Value Trades 63 Emerging Market Trades 65 Other Trades 67 The Portfolio of Trades 68 CHAPTER 5 The Collapse 71 Early Summer 1998 71 The Salomon Shutdown 73 The Russian Default 75 The Phone Calls 77 The Meriwether Letter 79 Buffett's Hostile Alaskan Offer 81 The Consortium Bailout 82 Too Big To Fail 84 Why Did It Happen? 85 Appendix 5.1 The John Meriwether Letter 89 Appendix 5.2 The Warren Buffett Letter 93 CHAPTER 6 The Fate of LTCM Investors 95 CHAPTER 7 General Lessons from the Collapse 101 Interconnected Crowds 101 VaR 102 Leverage 105 Clearinghouses 108 Compensation 110 What's Size Got to Do with It? 110 Contingency Capital 113 The Fed Is a Coordinator of Last Resort 114 Counterparty Due Diligence 115 Spread the Love 115 Quantitative Theory Did Not Cause the LTCM Collapse 116 D'ej'a Vu 118 PART II: THE FINANCIAL CRISIS OF 2008 121 CHAPTER 8 The Quant Crisis 123 The Subprime Mortgage Market Collapse 127 What Was the Quant Crisis? 129 The Erratic Behavior of Quant Factors 130 Standard Factors 130 Quantitative Portfolio Factors 133 Causes of the Quant Crisis 134 The Shed Show 137 CHAPTER 9 The Bear Stearns Collapse 141 A Brief History of the Bear 141 Shadow Banking 143 Window Dressing 144 Repo Power 145 The Unexpected Hibernation 148 The Polar Spring 150 CHAPTER 10 Money for Nothing and Fannie and Freddie for Free 155 The Basic Business 157 Where's the Risk? 158 CDO and CDO2 159 The Gigantic Hedge Fund 162 Big-Time Profits 165 The U.S. Housing Bubble 168 The Circle of Greed 170 Real Estate Agents and Mortgage Lender Tricks 173 Home Owners 177 Profits and Politicians 177 The Media and Regulators 180 Grade Inflation 182 Commercial Banks 185 Freddie and Fannie's Foreclosure 186 Why Save Freddie and Fannie? 187 Did Anyone Know? 188 CHAPTER 11 The Lehman Bankruptcy 191 The Wall Street Club 191 Why Was Lehman Next? 193 Business Exposure 196 A Chronology of the Gorilla's Death 202 Double Down in Real Estate 203 Mildly Seeking Capital 207 The Final Days 213 A Classic Run on the Bank 217 Why Let Lehman Fail? 219 Who Was at Fault? 222 Lehman Brothers 222 The Counterparties 224 The Government and Market Structure 225 The Legal Opinion on the Lehman Bankruptcy 225 Who Would Have Been Next? 226 The Spoils of Having Friends in High Places 227 CHAPTER 12 The Absurdity of Imbalance 233 The Long-Dated Swap Imbalance 236 The Repo Imbalance 241 The 228 Wasted Resources and the Global Run on Banks 243 CHAPTER 13 Asleep in Basel 245 Basel I 246 The Concept 246 The Problems 247 Basel II 248 The Concept 248 The Problems 249 Basel and the Financial Crisis 250 CHAPTER 14 The LTCM Spinoffs 253 JWM Partners LLC 253 Platinum Grove Asset Management 258 The Others 259 The Copycat Funds 262 CHAPTER 15 The End of LTCM's Legacy 265 The Bear and the Gorilla Attack 265 November Rain 271 What Went Wrong? 274 Market Insanity 275 Bigger Shocks 281 Market Imbalance 282 Deleveraging 285 Coup de Grace 286 CHAPTER 16 New and Old Lessons from the Financial Crisis 289 Interconnectedness and Crowds 289 Leverage 291 Systemic Risk and Too Big to Fail 293 Derivatives: The Good, the Bad, and the Ugly 294 Conflicts of Interest 297 Policy Lessons 298 Risk Management 301 Counterparty Interaction 302 Hedge Funds 304 The Importance of Arbitrage 306 PART III: THE AFTERMATH 309 CHAPTER 17 The Flash Crash 311 Background 312 Flash Crash Theories 313 Fat Finger Theory 314 High-Frequency Trader Theory 314 Jittery Markets 315 The Real Cause of the Flash Crash 315 The Waddell-Reed Trade 316 The Computer Glitch 317 Gone Fishing 319 The Aftermath 321 CHAPTER 18 Getting Greeked 323 Members Only 324 The Conditions 324 The Benefits of Membership 328 The Drawbacks of Membership 328 The Club's Early Years 330 Getting Greeked 332 Greek Choices 333 Remain a Club Member and Order Finances 333 Ditch the Club and Keep the Debt 334 Ditch the Club and Ditch the Debt 334 The IMF and Euro Packages 335 The EU's Future 335 CHAPTER 19 The Fairy-Tale Decade 339 I Hate Wall Street 340 The Real Costs of the Financial Crisis 344 An Avatar's Life Force 346 Economic System Choices 349 The Crisis of Crowds 350 The Wine Arbitrage 351 APPENDIXES: 353 APPENDIX A The Mathematics of LTCM's Risk-Management Framework 355 A General Framework 355 A Numerical Example 357 Measuring Risk 357 APPENDIX B The Mechanics of the Swap Spread Trade 361 The Long Swap Spread Trade 361 The Short Swap Spread Trade 362 APPENDIX C Derivation of Approximate Swap Spread Returns 365 APPENDIX D Methodology to Compute Zero-Coupon Daily Returns 369 APPENDIX E Methodology to Compute Swap Spread Returns from Zero-Coupon Returns 373 APPENDIX F The Mechanics of the On-the-Run and Off-the-Run Trade 375 APPENDIX G The Correlations between LTCM Strategies Before and During the Crisis 377 APPENDIX H The Basics of CreativeMortgage Accounting 379 APPENDIX I The Business of an Investment Bank 381 Investment Banking 381 Capital Markets 382 Equities 382 Equity Cash 382 Equity Derivatives 383 Equity Finance 384 Arbitrage (Proprietary Trading) 384 Fixed Income 385 Government and Agency Obligations 385 Corporate Debt Securities and Loans 385 High-Yield Securities and Leveraged Bank Loans 386 Money Market Products 386 Mortgage- and Asset-Backed Securities 386 Municipal and Tax-Exempt Securities 387 Financing 387 Fixed-Income Derivatives 388 Lehman Brothers Bank 388 Foreign Exchange 388 Global Distribution (Global Sales) 389 Research 389 Client Services 389 Private Client Services (Private Wealth Management) 389 Private Equity 390 Technology 390 Corporate and Risk Management 390 Summary 391 APPENDIX J The Calculation of the BIS Capital Adequacy Ratio 393 The General Calculation 393 An Example 395 Notes 397 Glossary 443 Bibliography 451 About the Author 465 Index 467