bystander
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作者：bystander 在 罕见奇谈 发贴, 来自 http://www.hjclub.org
(from www.financialsense.com)
FAHRENHEIT 451
by John Mackenzie
May 18, 2004
Myron S. Scholes of Long Term Capital Management, won one-half the 1997 Nobel Peace Prize in Economic Sciences "for a new method to determine the value of derivatives."
In September of 1998 LTCM ran into a glitch as their Laureate’s method began to run amok. At the beginning of 1998, LTCM held capital of $4.8 billion, a portfolio of in excess of $200 billion (credit facilities) and derivatives with a notional value (how much capital a given derivative effectively controls) of $1.25 trillion.
The investors who dared to ask questions were told to "take their money somewhere else".
On September 23, 1998 William J. McDonough, president of the New York Federal Reserve Bank enlisted LTCM’s counter parties to bail out the fund which was for all intents and purposes bankrupt. The counter parties provided $3.6 billion in return for a 90% share in the fund and the promise a supervisory board would be established
Simply put, a Nobel Laureate’s "derivative model" wrought disaster, only to be bailed out by the very counter parties it had "insured" against risk.
The government’s intervention to save LTCM served to expand the "moral hazard" furthering the expectation of bailouts among speculators with an appetite for risk. I would suggest this type of intervention only serves to further heighten the risks.
The leverage employed by LTCM indicates the firm was clearly speculating upon convergence of interest rates, Alan Greenspan and Bob Rubin’s nod gave McDonough the go-ahead for an arranged bailout as they, in their own words, believed it could very well bring down the economy due to the magnitude of the "LTCM shock."
LTCM’s notional aggregate of $1.25 trillion implies extreme leverage used in its pyramid of derivative positions against capital of $4.8 billion.
I believe it is fair to assume the higher the leverage employed, the higher degree of aggregate risk to a specific portfolio. The leveraged speculators have recently exceeded $230 trillion in aggregate.
Since the LTCM debacle, Chairman Greenspan has attempted to protect the "real economy" with even less transparency in this unregulated "over the counter" market.
Derivatives are financial products whose value is "derived" from an perceived "underlying" asset value.
作者：bystander 在 罕见奇谈 发贴, 来自 http://www.hjclub.org |
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