LCTM公司发展与崩溃的分析.pptVIP

Up and downof LTCM 第一页，共三十五页。 Main ContentsBrief review of LTCM’s story and people behind the sceneLTCM’s trading strategies and risk managementWhat went wrong – reasons for the LTCM’s downfall第二页，共三十五页。 Introduction to LTCMLTCM – Long Term Capital ManagementFormat: hedge fund advantages: no regulation, limited liability and tax benefits 第三页，共三十五页。 Story begins…….Spectacular return 1994~1997 starting capital: $ 1 billion (Mar-94) before collapse: $ 6.7 billion (Aug-97)Quick downfall in 1998第四页，共三十五页。 Monthly net capital chart第五页，共三十五页。 People behind the story – an all-star trading teamHigh-pro professionals – John. Meriwether and his loyal menNobel laureates – Robert Merton and Myron ScholesFormer vice chairman of Fed – David Mullins 第六页，共三十五页。 LTCM’s trading strategiesBasic typesConvergence tradeRelative value tradeDirectional trade第七页，共三十五页。 Classical examplesOn-the-run, off-the-run bond tradesInterest rate swaps tradesSelling volatility tradesRisk arbitrage tradesYield curve relative-value tradesFrench government bond tradesEquity relative-value trades第八页，共三十五页。 On-off-the-run bond tradingType: convergence tradePrinciple: What is on-the-run and off-the-run Treasury bondHow to make money from trades:before convergence, long off-the-run and short on-the-runAfter convergence, unwind position第九页，共三十五页。 On-off-the-run convergence第十页，共三十五页。 Influence on Price spread---- Blue line: price spread influenced by buying transaction---- Red line: price spread influenced by selling transaction第十一页，共三十五页。 Interest rate swaps tradesType: relative value tradePrinciple: What is interest rate swapsWhat is repo financingHow to make money from combination of Treasury bond, repo financing and interest rate swaps第十二页，共三十五页。 Concept of interest rate swaps第十三页，共三十五页。 Cash flow of an IRStFixed s paymentVariable rate paymentFor receiving fixed and paying floating case:第十四页，共三十五页。 Repo financingA form of collateralized borrowingAn example: a perfect repo financingBo