Risk Management Lessons from Long-Term Capital Management

By Philippe Jorion. 2000

365 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/2476814c73f0bf6ed52de4588ff2f4092456ab82

Citations in the corpus

• Predicting Hedge Fund Failure: A Comparison of Risk Measures (2009, neutral): “Unique aspects of risk in hedge funds such as nonlinearity are well docu mented in literature (Lo (2001), Jorion (2000a)).”
• Value at Risk and the Cross-Section of Hedge Fund Returns (2007, neutral): “In fact, Jorion (2000) adopts a VaR approach to analyze LTCM’s 3 See ‘‘Registration Under the Advisers Act of Certain Hedge Fund Advisers’’ by the US SEC, 2004.”
• Beyond Correlation: Extreme Co-movements Between Financial Assets (2002, neutral): “Jorion (2000) examines the collapse of LTCM, and an adaption of his findings shows that the event of collapse under Normality assumptions has a likelihood of occurring once in 1,000 years, whereas under a " heavy talied " (tmodel with 4 DoF) assumption, it would be once in 8 years.”
• An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, neutral): “We do not allow the investor to choose from all available options simultaneously, since our investors may then exploit small in-sample differences between highly correlated option returns, leading to extreme portfolio weights (see, e.g., Jorion (2000) for a discussion of this issue).”
• From dissonance to resonance: cognitive interdependence in quantitative finance (2012, neutral): “These include the market crash of 1987, the crisis of Long-Term Capital in 1998 and the hedge fund ‘mini-crash’ of August 2007 (see Dunbar, 2000; Jorion, 2000; Khandani & Lo, 2007; Lowenstein 2000; MacKenzie, 2006; MacKenzie & Millo, 2003).”
• The Price of Correlation Risk: Evidence from Equity Options (2009, neutral): “Roll (1988) analyzes the 1987 crash and Jorion (2000) studies the Russia/LTCM crisis.”
• Capital Market Liberalization and Development (2008, neutral): “See Korinek (2007) for a fuller discussion of these externalities.”
• Risk Management: History, Definition, and Critique (2013, neutral): “When the Asians and Russians steadily defaulted on their obligations, LTCM began to run short of liquid assets to meet its obligations; this shortfall quickly turned into default risk (Jorion, 2000).”