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水瓶公主 · 2023年05月08日

b不是伦敦鲸吗?

NO.PZ2022062759000005

问题如下:

The collapse of Long-Term Capital Management (LTCM) is a classic risk management case study. Which of the following statements about risk management at LTCM is correct?

选项:

A.

LTCM’s traders did not respond quickly enough to changes in market volatility as there were significant barriers that blocked the flow of information.

B.

LTCM failed to account for the illiquidity of its largest positions in its risk calculations.

C.

LTCM’s use of high leverage is evidence of poor risk management.

D.

LTCM did not run any stress scenarios on its VaR model.

解释:

中文解析:

关于长期资本管理公司的失败,是由于大额头寸的流动性不足所造成的。

A major contributing factor to the collapse of LTCM is that it did not account properly for the illiquidity of its largest positions in its risk calculations. LTCM received valuation reports from dealers who only knew a small portion of LTCM’s total position in particular securities, therefore understating LTCM’s true liquidity risk. When the markets became unsettled due to the Russian debt crisis in August 1998 and a separate firm decided to liquidate large positions which were similar to many at LTCM, the illiquidity of LTCM’s positions forced it into a situation where it was reluctant to sell and create an even more dramatic adverse market impact even as its equity was rapidly deteriorating. To avert a full collapse, LTCM’s creditors finally stepped in to provide USD 3.65 billion in additional liquidity to allow LTCM to continue holding its positions through the turbulent market conditions in the fall of 1998.

However, as a result, investors and managers in LTCM other than the creditors themselves lost almost all their investment in the fund.

d怎么不对咯?不就是极端情况下相关系数风险吗?

1 个答案

DD仔_品职助教 · 2023年05月08日

嗨,从没放弃的小努力你好:


同学你好,

伦敦鲸的失败关键在于为了减少报警次数,他们修改了VaR模型,使得VaR值减小了差不多50%,这会在很大程度上低估自己的风险,导致投资组合中损失不断增加。

长期资本管理公司失败的关键在于计算风险时没有正确的考虑最大头寸的非流动性。 LTCM一开始认为美国国债价格相对公司债和其他国家债券都太高了,认为美债会跌,所以做空美债,并且做多了公司债和发展中国家债券(企图等到美债和公司债直接价差收窄的时候赚钱)。结果俄罗斯宣布国债违约,叠加金融风暴,资金都跑去买美债避险(美债在上涨),发展中国家债券和公司债在下跌。LTCM两头亏钱。

所以B选项是长期资本管理公司失败的主要原因。

而D选项说LTCM对于VaR模型没有进行任何的压力测试,这是不对的,LTCM确实用了VaR模型的,并且也进行了最差情况的检验,设置了不同的情景等。

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努力的时光都是限量版,加油!

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2023-04-29 16:08 1 · 回答