The Crisis of Crowding: Quant Copycats, Ugly Models, and the New Crash Normal (Bloomberg)

The Crisis of Crowding: Quant Copycats, Ugly Models, and the New Crash Normal (Bloomberg)
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作者:
出版社: Wiley
2012-07
版次: 1
ISBN: 9781118250020
定价: 480.20
装帧: 精装
开本: 其他
纸张: 其他
页数: 478页
正文语种: 英语
丛书: Bloomberg
  • ArareanalyticallookatthefinancialcrisisusingsimpleanalysisTheeconomiccrisisthatbeganin2008revealedthenumerousproblemsinourfinancialsystem,fromthewaymortgageloanswereproducedtothewayWallStreetbanksleveragedthemselves.Curiouslyenough,however,mostofthereasonsforthebankingcollapseareverysimilartothereasonsthatLong-TermCapitalManagement(LTCM),thelargesthedgefundtodate,collapsedin1998.TheCrisisofCrowdinglooksatLTCMingreaterdetail,withnewinformation,foramoreaccurateperspective,examininghowthesubsequenthedgefundsstartedbyMeriwetherandformerpartnersweredestroyedagainbythelapseofjudgementinallowingLehmanBrotherstofail.CoveringthelessonsthatwereignoredduringLTCM'scollapsebuteventuallyconnectedtothefinancialcrisisof2008,thebookpresentsaseriesoflessonsforhedgefundsandfinancialmarkets,includingtouchinguponthecircleofgreedfromhomeownerstorealestateagentstopoliticianstoWallStreet.GuidesthereaderthroughtherealstoryofLong-TermCapitalManagementwithaccuratedescriptions,previouslyunpublisheddata,andinterviewsDescribesthelessonsthathedgefunds,aswellasthemarket,shouldhavelearnedfromLTCM'scollapseExploreshowthefinancialcrisisandLTCMareaglobalphenomenarootedinfailurestoaccountforriskincrowdedspaceswithleverageExplainswhyquantitativefinanceisessentialforeveryfinancialinstitutionfromriskmanagementtovaluationmodelingtoalgorithmictradingIsfilledwithsimplequantitativeanalysisaboutthefinancialcrisis,fromtheQuantCrisisof2007tothefailureofLehmanBrotherstotheFlashCrashof2010Auniqueblendofstorytellingandsoundquantitativeanalysis,TheCrisisofCrowdingisoneofthefirstbookstoofferananalyticallookatthefinancialcrisisratherthanjustanaccountofwhathappened.Alsoincludedarealayman'sguidetotheDodd-Frankrulesandwhatitmeansforthefuture,aswellasanevaluationoftheFed'sreactiontothecrisis,QE1,QE2,andQE3. LudwigB.Chincarini,CFA,PhD,isanAssociateProfessorofFinanceintheSchoolofManagementattheUniversityofSanFranciscoandamemberoftheacademiccouncilofIndexIQ,withoverfifteenyearsofexperienceinthefinancialindustryspecializinginportfoliomanagement,quantitativeequitymanagement,andderivatives.HewasDirectorofResearchatRydexGlobalAdvisors,whereheco-developedtheS&P500equal-weightindexandhelpedlaunchtheRydexETFprogram.Hehelpedbuildaninternetbrokeragefirm,FOLIOfn,designingitsinnovativebaskettradingandportfoliomanagementplatform.HealsoworkedattheBankforInternationalSettlements(BIS)andSchroders.HeisthecoauthorofQuantitativeEquityPortfolioManagement.HereceivedaPhDfromtheMassachusettsInstituteofTechnologyandaBAfromtheUniversityofCaliforniaatBerkeley.
  • 内容简介:
    ArareanalyticallookatthefinancialcrisisusingsimpleanalysisTheeconomiccrisisthatbeganin2008revealedthenumerousproblemsinourfinancialsystem,fromthewaymortgageloanswereproducedtothewayWallStreetbanksleveragedthemselves.Curiouslyenough,however,mostofthereasonsforthebankingcollapseareverysimilartothereasonsthatLong-TermCapitalManagement(LTCM),thelargesthedgefundtodate,collapsedin1998.TheCrisisofCrowdinglooksatLTCMingreaterdetail,withnewinformation,foramoreaccurateperspective,examininghowthesubsequenthedgefundsstartedbyMeriwetherandformerpartnersweredestroyedagainbythelapseofjudgementinallowingLehmanBrotherstofail.CoveringthelessonsthatwereignoredduringLTCM'scollapsebuteventuallyconnectedtothefinancialcrisisof2008,thebookpresentsaseriesoflessonsforhedgefundsandfinancialmarkets,includingtouchinguponthecircleofgreedfromhomeownerstorealestateagentstopoliticianstoWallStreet.GuidesthereaderthroughtherealstoryofLong-TermCapitalManagementwithaccuratedescriptions,previouslyunpublisheddata,andinterviewsDescribesthelessonsthathedgefunds,aswellasthemarket,shouldhavelearnedfromLTCM'scollapseExploreshowthefinancialcrisisandLTCMareaglobalphenomenarootedinfailurestoaccountforriskincrowdedspaceswithleverageExplainswhyquantitativefinanceisessentialforeveryfinancialinstitutionfromriskmanagementtovaluationmodelingtoalgorithmictradingIsfilledwithsimplequantitativeanalysisaboutthefinancialcrisis,fromtheQuantCrisisof2007tothefailureofLehmanBrotherstotheFlashCrashof2010Auniqueblendofstorytellingandsoundquantitativeanalysis,TheCrisisofCrowdingisoneofthefirstbookstoofferananalyticallookatthefinancialcrisisratherthanjustanaccountofwhathappened.Alsoincludedarealayman'sguidetotheDodd-Frankrulesandwhatitmeansforthefuture,aswellasanevaluationoftheFed'sreactiontothecrisis,QE1,QE2,andQE3.
  • 作者简介:
    LudwigB.Chincarini,CFA,PhD,isanAssociateProfessorofFinanceintheSchoolofManagementattheUniversityofSanFranciscoandamemberoftheacademiccouncilofIndexIQ,withoverfifteenyearsofexperienceinthefinancialindustryspecializinginportfoliomanagement,quantitativeequitymanagement,andderivatives.HewasDirectorofResearchatRydexGlobalAdvisors,whereheco-developedtheS&P500equal-weightindexandhelpedlaunchtheRydexETFprogram.Hehelpedbuildaninternetbrokeragefirm,FOLIOfn,designingitsinnovativebaskettradingandportfoliomanagementplatform.HealsoworkedattheBankforInternationalSettlements(BIS)andSchroders.HeisthecoauthorofQuantitativeEquityPortfolioManagement.HereceivedaPhDfromtheMassachusettsInstituteofTechnologyandaBAfromtheUniversityofCaliforniaatBerkeley.
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