Global derivative debacles: from theory to malpractice
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New Jersey [u.a.]
World Scientific
2010
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXVII, 308 S. graph. Darst. |
| ISBN: | 9789812837707 9812837701 9789814366199 |
Staff View
MARC
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| 245 | 1 | 0 | |a Global derivative debacles |b from theory to malpractice |c Laurent L. Jacque |
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| 300 | |a XXVII, 308 S. |b graph. Darst. | ||
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
Preface vii
Acknowledgments
ix
About the Author
xi
List of Figures
xix
List of Tables
xxiii
List of Boxes xv
Chapter
1:
Derivatives and the Wealth of Nations
1
What are Derivatives?
2
A Brief History of Derivatives
4
Derivatives and the Wealth of Nations
8
Organization of the Book
9
Bibliography
11
PART I: FORWARDS
!
3
Chapter
2:
Showa Shell Sekiyu K.K. 15
Hedging Currency Risk at Oil Companies
16
The Mechanics of Hedging Dollar Exchange Rate Risk and Oil Price Risk
19
Was Showa Shell Hedging or Speculating? 21
xiii
xiv
Global Derivative Debacles
Concealing Currency Losses
22
The Story Unfolds
22
Forecasting Exchange Rates: Treacherous at Best
23
The Moral of the Story
25
Chapter
3:
Citibank s Forex Losses
29
Currency Trading in the Tranquil Days of
Bretton
Woods
30
Gambling on Currencies with Forward Contracts
32
How Do Banks Keep a Lid on Their Foreign Exchange Trading Operations
33
Speculating from a Commercial Bank s Trading Desk: When Citibank
is Not Quite a Hedge Fund
à La
Georges Soros
35
Hasty and Costly Conclusion
38
The Moral of the Story
39
Chapter
4:
Bank
Negara
Malaysia
41
What is Central Banking All About?
42
Bank
Negara
as a Macro-Hedge Fund
43
How Did Bank
Negara
Speculate?
44
PART II: FUTURES
47
Chapter
5:
Amaranth Advisors LLC
49
The Rise and Fall of Amaranth Advisors LLC
50
Genesis of Natural Gas Derivatives
52
A Primer on Speculating in Natural Gas Derivatives
53
The Alchemy of Speculation Through Natural Gas Futures
58
The Story Unfolds: Amaranth Speclative Assault on Nymex
60
Risk Management at Amaranth
68
The Moral of the Story
70
Postscript
71
Contents xv
Chapter
6: Metallgesellschaft 73
The Metallgesellschaft
Debacle
74
The Long and Short of Hedging in the Oil Market
77
Numerical Illustration of Ebbs
&
Flows Under a Stack
&
Roll Hedge
83
The Message is in the Entrails : Empirics of the Oil Market
( 1983-2002) 85
If Only MGRM Had Been Allowed to Roll the Dice
89
When a Hedge is a Gamble: Was MGRM Hedging or Speculating?
92
MGRM as a Market Maker
93
The Moral of the Story
94
Bibliography
96
Chapter
7:
Sumitomo
97
Was Sumitomo Manipulating Copper Prices?
98
Alarm Bells
100
Debacle
101
Postscript
101
PART III: OPTIONS
103
Chapter
8:
Allied Lyons
105
A New Mission for Allied Lyons Treasury Department
106
A Primer on Currency Options: Was Allied Lyons Hedging or Speculating?
109
Selling Volatility: Allied-Lyons Deadly Game
115
Alarm Bells are Ignored as the Story Unfolds
121
The Moral of the Story
122
Appendix: Pricing Currency Options
123
Chapter
9:
Allied Irish Banks 125
Rusnak and Currency Trading at Allfirst I25
Gambling on Currencies with Forward Contracts
127
Arbitraging the Forward and Option Market: The International Put-Call
Parity Theorem 129
XVj Global Derivative Debacles
The Art of Concealment
133
When Alarm Bells are Ignored
137
The Moral of the Story
139
Epilogue
140
Bibliography
14°
Chapter
10:
Barings
143
The Rise and Fall of the House of Barings
144
Rogue Trader
146
Arbitrage
148
From Harmless Arbitrage to Lethal Speculation
151
A Primer on How to Speculate with Options
156
Financing Margin Calls by Selling Volatility
161
Warning Bells
168
The Art of Concealment
169
The Moral of the Story: Leeson s Seven Lessons
174
Epilogue
177
Bibliography
177
Chapter
11 :
Société Générale
179
The Making of a Rogue Trader
179
From Arbitrage to Directional Trades
182
Hasty Conclustion
188
When Alarm Bells are Ignored
190
The Art of Concealment
192
The Moral of the Story
192
Postscript
195
Bibliography
196
Contents xvii
PART IV: SWAPS
197
Chapter
12:
Procter
&
Gamble
199
How to Reduce Financing Costs with Levered Interest Rate Swaps
200
Embedded Options and Hidden Risks
206
Landmark Lawsuit
210
The Moral of the Story
213
Bibliography
214
Chapter
13:
Gibson Greeting Cards
217
Chapter
14:
Orange County
221
Municipal Finance in Orange County
222
A Primer on Fixed Income Securities
224
Anatomy of Orange County Asset Portfolio
227
OCIP as a Hedge Fund
232
Double Jeopardy: How Orange County Collapsed
236
Was Filing for Bankruptcy Warranted?
237
The Moral of the Story
239
Epilogue
242
Bibliography
244
Chapter
15:
Long-Term
Capital Management
245
What are Hedge Funds?
246
The Rise of
Long-Term
Capital Management
247
The Alchemy of Finance
249
Relative Value or Convergence Trades
252
The Central Bank of Volatility
257
Straying Away from the Master Plan
263
TheFallofLTCM
264
The Rescue of LTCM
267
The Moral of the Story
270
xviii
Global Derivative Debacles
Epilogue
272
Bibliography
273
Chapter
16:
AIG
275
Securitization and Credit Default Swaps
275
What are Credit Default Swaps (CDS)?
277
The Moral of the Story
279
Chapter
17:
From Theory to Malpractice: Lessons Learned
281
Some First Principles
281
Policy Recommendations for Non-financial Firms
282
Policy Recommendations for Financial Institutions
286
Policy Recommendations for Investors
292
Policy Recommendations for Regulators
293
Index
297
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| indexdate | 2024-07-09T22:05:29Z |
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| isbn | 9789812837707 9812837701 9789814366199 |
| language | English |
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| spelling | Jacque, Laurent L. Verfasser aut Global derivative debacles from theory to malpractice Laurent L. Jacque New Jersey [u.a.] World Scientific 2010 XXVII, 308 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Geschichte (DE-588)4020517-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Risikoverhalten (DE-588)4050133-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Risikoverhalten (DE-588)4050133-4 s Geschichte (DE-588)4020517-4 s b DE-604 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018684385&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Jacque, Laurent L. Global derivative debacles from theory to malpractice Geschichte (DE-588)4020517-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| subject_GND | (DE-588)4020517-4 (DE-588)4381572-8 (DE-588)4050133-4 |
| title | Global derivative debacles from theory to malpractice |
| title_auth | Global derivative debacles from theory to malpractice |
| title_exact_search | Global derivative debacles from theory to malpractice |
| title_full | Global derivative debacles from theory to malpractice Laurent L. Jacque |
| title_fullStr | Global derivative debacles from theory to malpractice Laurent L. Jacque |
| title_full_unstemmed | Global derivative debacles from theory to malpractice Laurent L. Jacque |
| title_short | Global derivative debacles |
| title_sort | global derivative debacles from theory to malpractice |
| title_sub | from theory to malpractice |
| topic | Geschichte (DE-588)4020517-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| topic_facet | Geschichte Derivat Wertpapier Risikoverhalten |
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