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xyrg+ · 2023年04月29日

为啥C不对

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.

为啥C不对

1 个答案
已采纳答案

DD仔_品职助教 · 2023年04月29日

嗨,从没放弃的小努力你好:


同学你好,

LTCM是对冲基金,他的业务就是举高杠杆获得高收益,这不能说明他的风险管理做的不好。

截图来自于维基百科

----------------------------------------------
努力的时光都是限量版,加油!

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NO.PZ2022062759000005问题如下 The collapse of Long-Term CapitManagement (LTCM) is a classic risk management case stu. Whiof the following statements about risk management LTis correct? A.LTCM’s trars not responquickly enough to changes in market volatility there were significant barriers thblockethe flow of information.B.LTfaileto account for the illiquity of its largest positions in its risk calculations.C.LTCM’s use of high leverage is evinof poor risk management.LTnot run any stress scenarios on its Vmol. 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 LTis thit not account properly for the illiquity of its largest positions in its risk calculations. LTreceivevaluation reports from alers who only knew a small portion of LTCM’s totposition in particulsecurities, therefore unrstating LTCM’s true liquity risk. When the markets became unsettlee to the Russicrisis in August 1998 ana separate firm cito liquite large positions whiwere similto many LTCM, the illiquity of LTCM’s positions forceit into a situation where it wreluctant to sell ancreate even more amatic aerse market impaeven its equity wrapiy teriorating. To avert a full collapse, LTCM’s cretors finally steppein to provi US3.65 billion in aitionliquity to allow LTto continue holng its positions through the turbulent market contions in the fall of 1998. However, a result, investors anmanagers in LTother ththe cretors themselves lost almost all their investment in the fun 么不对咯?不就是极端情况下相关系数风险吗?

2023-05-08 00:24 1 · 回答