LTCM - 4.6 bn loss cat

LTCM - 4.6 bn loss cat - Swaps Equity Volatility ussa &...

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Unformatted text preview: Swaps Equity Volatility ussa & Other Emerging Markets tional trades in Dvp'd Countires Equity Pairs Yield Curve Arbitrage S&P 500 Junk Bond Arbitrage 1.6 1.3 0.43 0.37 0.29 0.22 0.2 0.1 0.22 0.29 0.37 0.43 Major Investment Categories of L (in $ Bn) Swaps 0.2 0.1 1.6 1.3 Equity Volatility Russa & Other Emerging Markets Dire trad Dvp Cou Equ Yie Arb Categories of LTCM Total Losses (in $ Bn) ps Directional trades in Dvp'd Countires Equity Pairs Yield Curve Arbitrage S&P 500 ity Volatilsa & Other erging kets Junk Bond Arbitrage ...
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This note was uploaded on 04/26/2011 for the course BUSINESS A 00 taught by Professor Misc during the Spring '11 term at Saint Louis.

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