{"product_id":"the-crisis-of-crowding-quant-copycats-ugly-models-and-the-new-crash-normal-hardback-9781118250020","title":"The Crisis of Crowding; Quant Copycats, Ugly Models, and the New Crash Normal (Hardback) 9781118250020","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eThe Crisis of Crowding\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eQuant Copycats, Ugly Models, and the New Crash Normal\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eLudwig B. Chincarini (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781118250020, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 21 August 2012\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e512 pages\u003cbr\u003e23.4 x 16.3 x 4.8 cm, 0.748 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eWhat causes systemic risk in economic markets? What are the signals that there could be problems? How do you prevent systemic risk? And how should we change our risk management practices to take this risk into account? Chincarini looks at the financial crises of the past 15 years – starting with a comprehensive analysis of the Long-Term Capital Management crisis in 1998 and ending with the Euro-debt crisis of 2012 – and argues convincingly that the central risk in these crises was accentuated from within the financial system rather than from external economic forces (it includes the best analysis I have read on the LTCM crisis). This bold new theory has important implications for both industry practices as well as for new regulations. It is essential that we learn the lessons from the past (or else we will repeat the same mistakes). Chincarini’s book should be required reading for anyone who wants to understand and help prevent financial crises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e\u003cb\u003e– \u003c\/b\u003eEric Rosenfeld, Co-Founder of Long-Term Capital Management and JWM Partners\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChincarini connects the dots between LTCM, mispriced risk, the 2008 financial crisis, the flash crash, and the Greek debt crisis. The instability created by the crowded trades, interconnected financial institutions, and too much debt is the recurring theme. For those interested in understanding the quantitative approach to investment, the section of the book focused on LTCM is a very useful reference. It contains, for example, a comprehensive inventory of the types of trades LTCM had entered into and an inventory of lessons learned. This book is not only a useful history of recent financial crises, but a treasure trove of insightful quotations from interviews with many luminaries among modern financial practitioners and academics.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e\u003cb\u003e– \u003c\/b\u003eRobert Litterman, Former Partner and Head of Risk Management at Goldman Sachs; co-inventor of the Black-Litterman Model\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChincarini returns to the proverbial crime scene of a decade earlier to find the origins of the crisis of 2008. Based on new interviews with key players and his own analysis, the book argues that the LTCM collapse of 1998 should have been the early warning signal of fragility in the financial system rooted in the fact that holders of sophisticated financial products so often just end up copying each other’s behavior. It also provides a cautionary tale about the unintended consequences of financial regulations. Chincarini’s book, which combines a narrative style with an overview of economic fundamentals, should be on the reading list of anyone interested in the roots of our financial meltdown.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e\u003cb\u003e– \u003c\/b\u003eAustan Goolsbee, Former Chairman of the Council of Economic Advisers to the President; Professor of Economics at the University of Chicago\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Crisis of Crowding is an excellent account of the financial crisis of 2008. This book has everything: an analysis of the trades, interviews with key players, and most importantly, a simple, entertaining explanation of how we got into this mess. It stretches from the LTCM crisis in 1998 to the Greek Crisis of 2012. Anyone who wants to know how our financial system works and how we can improve it should read this book.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e– Frank Fabozzi, Professor at EDHEC Business School and Former Professor at the Yale School of Managemen\u003c\/b\u003et\u003c\/p\u003e \u003cp\u003eDr. Chincarini gives an engaging description of the various crises over the last decade and how they are connected.  It’s as if Chincarini was in the trading room taking notes as the crisis unfolded.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e– Ken Kroner, Chief Investment Officer and head of the firm’s scientific active equity business, Blackrock\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDo we need yet another book on the financial crisis?   Yes, we do.  Some books are fun to read, but leave you confused about what the actors actually did.  Others give you a great deal of technical information, but can be a hard slog.   The book by Ludwig Chincarini fills the middle.  It is fun to read, and it tells you exactly who did what and how.  Read, enjoy, and learn.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e– Olivier Blanchard, Chief Economist at the IMF\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOne of the lessons from the crisis, rarely discussed, are the problems caused by crowded trading places.  Chincarini takes the reader down a path not looked at by many analysts.  An excellent read.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e– Jimmy Cayne, Former CEO and Chairman of the Board of Bear Stearns\u003c\/b\u003e\u003c\/p\u003e\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cb\u003eA rare analytical look at the financial crisis using simple analysis\u003c\/b\u003e  \u003cp\u003eThe economic crisis that began in 2008 revealed the numerous problems in our financial system, from the way mortgage loans were produced to the way Wall Street banks leveraged themselves. Curiously enough, however, most of the reasons for the banking collapse are very similar to the reasons that Long-Term Capital Management (LTCM), the largest hedge fund to date, collapsed in 1998. \u003ci\u003eThe Crisis of Crowding\u003c\/i\u003e looks at LTCM in greater detail, with new information, for a more accurate perspective, examining how the subsequent hedge funds started by Meriwether and former partners were destroyed again by the lapse of judgement in allowing Lehman Brothers to fail.\u003c\/p\u003e \u003cp\u003eCovering the lessons that were ignored during LTCM's collapse but eventually connected to the financial crisis of 2008, the book presents a series of lessons for hedge funds and financial markets, including touching upon the circle of greed from homeowners to real estate agents to politicians to Wall Street.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eGuides the reader through the real story of Long-Term Capital Management with accurate descriptions, previously unpublished data, and interviews\u003c\/li\u003e \u003cli\u003eDescribes the lessons that hedge funds, as well as the market, should have learned from LTCM's collapse\u003c\/li\u003e \u003cli\u003eExplores how the financial crisis and LTCM are a global phenomena rooted in failures to account for risk in crowded spaces with leverage\u003c\/li\u003e \u003cli\u003eExplains why quantitative finance is essential for every financial institution from risk management to valuation modeling to algorithmic trading\u003c\/li\u003e \u003cli\u003eIs filled with simple quantitative analysis about the financial crisis, from the Quant Crisis of 2007 to the failure of Lehman Brothers to the Flash Crash of 2010\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eA unique blend of storytelling and sound quantitative analysis, \u003ci\u003eThe Crisis of Crowding\u003c\/i\u003e is one of the first books to offer an analytical look at the financial crisis rather than just an account of what happened. Also included are a layman's guide to the Dodd-Frank rules and what it means for the future, as well as an evaluation of the Fed's reaction to the crisis, QE1, QE2, and QE3.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eForeword xv\u003cbr\u003ePreface xix\u003cbr\u003eCast of Characters xxiii\u003c\/p\u003e \u003cp\u003eCHAPTER 1 Introduction 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART I: THE 1998 LTCM CRISIS 5\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 2 Meriwether's Magic Money Tree 7\u003cbr\u003eCHAPTER 3 Risk Management 21\u003cbr\u003eCHAPTER 4 The Trades 37\u003cbr\u003eCHAPTER 5 The Collapse 71\u003cbr\u003eCHAPTER 6 The Fate of LTCM Investors 95\u003cbr\u003eCHAPTER 7 General Lessons from the Collapse 101\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART II: THE FINANCIAL CRISIS OF 2008 121\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 8 The Quant Crisis 123\u003cbr\u003eCHAPTER 9 The Bear Stearns Collapse 141\u003cbr\u003eCHAPTER 10 Money for Nothing and Fannie and Freddie for Free 155\u003cbr\u003eCHAPTER 11 The Lehman Bankruptcy 191\u003cbr\u003eCHAPTER 12 The Absurdity of Imbalance 233\u003cbr\u003eCHAPTER 13 Asleep in Basel 245\u003cbr\u003eCHAPTER 14 The LTCM Spinoffs 253\u003cbr\u003eCHAPTER 15 The End of LTCM's Legacy 265\u003cbr\u003eCHAPTER 16 New and Old Lessons from the Financial Crisis 289\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART III: THE AFTERMATH 309\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 17 The Flash Crash 311\u003cbr\u003eCHAPTER 18 Getting Greeked 323\u003cbr\u003eCHAPTER 19 The Fairy-Tale Decade 339\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAPPENDIXES 353\u003cbr\u003e\u003c\/b\u003eAPPENDIX A The Mathematics of LTCM's Risk-Management Framework 355\u003cbr\u003eAPPENDIX B The Mechanics of the Swap Spread Trade 361\u003cbr\u003eAPPENDIX C Derivation of Approximate Swap Spread Returns 365\u003cbr\u003eAPPENDIX D Methodology to Compute Zero-Coupon Daily Returns 369\u003cbr\u003eAPPENDIX E Methodology to Compute Swap Spread Returns from Zero-Coupon Returns 373\u003cbr\u003eAPPENDIX F The Mechanics of the On-the-Run and Off-the-Run Trade 375\u003cbr\u003eAPPENDIX G The Correlations between LTCM Strategies Before and During the Crisis 377\u003cbr\u003eAPPENDIX H The Basics of Creative Mortgage Accounting 379\u003cbr\u003eAPPENDIX I The Business of an Investment Bank 381\u003cbr\u003eAPPENDIX J The Calculation of the BIS Capital Adequacy Ratio 393\u003c\/p\u003e \u003cp\u003eNotes 397\u003cbr\u003eGlossary 443\u003cbr\u003eBibliography 451\u003cbr\u003eAbout the Author 465\u003cbr\u003eIndex 467\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Bloomberg Press","offers":[{"title":"Brand New","offer_id":52173717012760,"sku":"9781118250020","price":23.89,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781118250020_262518.jpg?v=1781168104","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/the-crisis-of-crowding-quant-copycats-ugly-models-and-the-new-crash-normal-hardback-9781118250020","provider":"Freshly Printed Books","version":"1.0","type":"link"}