Autor: Chincarini, Ludwig B.
Editorial: Wiley & Sons Ltd.
Nº Paginas: 408
The Crisis of Crowding “Quant Copycats, Ugly Models, and the New Crash Normal”, Chincarini, Ludwig B. ,
A rare analytical look at the financial crisis using simple analysis The economic crisis that began in dos mil ocho 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 afín to the reasons that Long-Term Capital Management (LTCM), the largest hedge fund to date, collapsed in mil novecientos noventa y ocho. 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 dos mil ocho, 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 Guides the reader through the real story of Long-Term Capital Management with accurate descriptions, previously unpublished data, and interviews Describes the lessons that hedge funds, as well as the market, should have learned from LTCM’s collapse Explores how the financial crisis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 dos mil siete to the failure of Lehman Brothers to the Flash Crash of dos mil diez 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.