Long Term Capital Management, exploiting perfect investment theory, but went bankrupt

소개글

[해외MBA Quantitative Investment]

결코 망하지 않을 것 같던 LTCM은 왜 망했나?
노벨 경제학상 수상자들이 리스크 관리를 했음에도 과연 무엇이 문제였나?
그리고 그 시사점은?

목차

1. Company Background

2. What are the LTCM strategies?
1) Swap-spread example
2) Fixed-rate residential mortgages
3) Selling volatility

3. Why do they want to reduce fund size

4. What made LTCM go bankrupt

본문내용

1) Swap-spread example
Interest swaps are contractual agreements in which one party agrees to pay another a fixed rate in exchange for a floating rate, applied to notional amount. On February 8, 1997, U.S. Treasury bonds of 20 year maturity were yielding 6.77%. Interest rate swaps of similar duration were being quoted at 6.94%. At 17 basis points, the swap spread was at the low end of its historical range of 17 to 32 basis points since 1994.

참고 자료

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