金程教育WWW.GFEDU.NET专业·创新·增值Thereforetheexpectedreturnforthenewscenario=Baselmescenanoexpectedreturn+pIndustrialproduction屯duatrialproductionshock+pxfuterestrateshockInterestrate=5%+(1.3X1.2%)+(—0.75x0.25%)=6.37%CFAFRMAQFCPAteachingvideo,WeChat:zyz786468331•KeyPoint:FinancialDisastersMetallgesellschaft:►Stack-and-rollhedgingstrategy(Longfutures)✓Basisrisk,LiquidityriskLTCM:►Relativevaluestrategies:arbitragingpricedifferenceamongsimilarsecuritiesandprofitingwhenthepricesconverged.►Creditspread:bettingthatthecreditspreadtendedtoreverttoaveragehistoricallevels.►Equityvolatility:bettingthatthevolatilityonequityoptionstendedtoreverttolong-termaveragelevels.✓Reasonsforfailure:Extremeleverage,alackofdiversification,inadequateriskmodels,liquidityrisk.Barings(NickLeeson)►SellingstraddlesontheNikkei225:sellingcallsandputs.►ArbitragingpricedifferencesonNikker225futurescontractsthatweretradingondifferentexchanges:Ion-IonfuturesositiononbothexchanesinhoeofrofitinfromanincreaseintheNikkei225.✓Operationalrisk,dualrolesKinderPeabody(OrlandoJosephJett交易员吉特）►Artificiallyinflatingreportedprofits.►Whenultimate!correctedinAril1994$350millioninreviouslreortedainshadtobereversed.✓Operationalrisk,notaccountforaforwardcontract'spresentvalue.SocieteGenerale►TohidethesizeandriskinessofunauthorizedositionsinfuturescontractsandequitysecuritiesKervielcreatedfaketransactionsthatoffsetthericemovementsoftheactualpositions.寺业来和/0/%的投入！Add/上海市松花江路2S3g.i号复旦科技园1号楼/2号楼(200437)Tel/400-700-9596Web/WWW.GFEDU.NET金程教育WWW.GFEDU.NET专业·创新·增值strategyParticipantsinherhedgefundareawareofthefund'sinvestmentstrategy,andthusQuigleydidnotviolatetheCodebynotdisclosingthisspecificsetoftradesinadvanceoftrading(Standards2.1and5.1).CFAFRMAQFCPAteachingvideo,WeChat:zyz78646833155.JackSchleifer,FRM,isananalystforBrownInvestmentManagers(BIM).SchleiferhasrecentlyacceptedaninvitationtovisitthefacilitiesofChemCo,aproducerofchemicalcompoundsusedinavarietyofind...
