Опасные игры с деривативами: полувековая история провалов от Citibank до Barings, Société Générale и AIG: [перевод с английского]

This book analyzes in depth all major derivatives debacles of the last half century including the multi-billion losses and/or bankruptcy of Metallgesellschaft (1994), Barings Bank (1995), Long Term Capital Management (1998), Amaranth (2006), Société Générale (2008) and AIG (2008). It unlocks the secrets of derivatives by telling the stories of institutions which played in the derivative market and lost big. For some of these unfortunate organizations it was daring but flawed financial engineering which brought them havoc. For others it was unbridled speculation perpetrated by rogue traders whose unchecked fraud brought their house down.Should derivatives be feared “as financial weapons of mass destruction” or hailed as financial innovations which through efficient risk transfer are truly adding to the Wealth of Nations? By presenting a factual analysis of how the malpractice of derivatives played havoc with derivative end-user and dealer institutions, a case is made for vigilance not only to market and counter-party risk but also operational risk in their use for risk management and proprietary trading. Clear and recurring lessons across the different stories call not only for a tighter but also “smarter” control system of derivatives trading and should be of immediate interest to financial managers, bankers, traders, auditors and regulators who are directly or indirectly exposed to financial derivatives.The book groups cases by derivative category, starting with the simplest and building up to the most complex — namely, Forwards, Futures, Options and Swaps in that order, with applications in commodities, foreign exchange, stock indices and interest rates. Each chapter deals with one derivative debacle, providing a rigorous and comprehensive but non-technical elucidation of what happened.The book is translated and available in French, Russian, Simplified Chinese and Korean. Ch. 1. Derivatives and the wealth of nations. What are derivatives? A brief history of derivatives. Derivatives and the wealth of nations. Organization of the book. Bibliography -- ch. 2. Showa Shell Sekiyu K.K. Hedging currency risk at oil companies. The mechanics of hedging dollar exchange rate risk and oil price risk. Was Showa Shell hedging or speculating? Concealing currency losses. The story unfolds. Forecasting exchange rates : treacherous at best. The moral of the story -- ch. 3. Citibank's forex losses. Currency trading in the tranquil days of Bretton Woods. Gambling on currencies with forward contracts. How do banks keep a lid on their foreign exchange trading operations. Speculating from a commercial bank's trading desk : when Citibank is not quite a hedge fund à la Georges Soros. Hasty and costly conclusion. The moral of the story -- ch. 4. Bank Negara Malaysia. What is central banking all about? Bank Negara as a macro-hedge fund. How did Bank Negara speculate? -- ch. 5. Amaranth Advisors LLC. The rise and fall of Amaranth Advisors LLC. Genesis of natural gas derivatives. A primer on speculating in natural gas derivatives. The Alchemy of speculation through natural gas futures. The story unfolds : Amaranth speclative assault on Nymex. Risk management at Amaranth. The moral of the story. Postscript -- ch. 6. Metallgesellschaft. The Metallgesellschaft debacle. The "long and short" of hedging in the oil market. Numerical illustration of "ebbs & flows" under a "stack & roll" hedge. The "message is in the entrails" : empirics of the oil market (1983-2002). If only MGRM had been allowed to roll the dice. When a hedge is a gamble : was MGRM hedging or speculating? MGRM as a market maker. The moral of the story. Bibliography -- ch. 7. Sumitomo. Was Sumitomo manipulating copper prices? Alarm bells. Debacle. Postscript -- ch. 8. Allied Lyons. A new mission for Allied Lyons treasury department. A primer on currency options : was Allied Lyons hedging or speculating? Selling volatility : Allied-Lyons "deadly game". Alarm bells are ignored as the story unfolds. The moral of the story -- ch. 9. Allied Irish banks. Rusnak and currency trading at Allfirst. Gambling on currencies with forward contracts. Arbitraging the forward and option market : the international put-call parity theorem. The art of concealment. When alarm bells are ignored. The moral of the story. Epilogue. Bibliography -- ch. 10. Barings. The rise and fall of the House of Barings. Rogue trader. Arbitrage. From harmless arbitrage to lethal speculation. A primer on how to speculate with options. Financing margin calls by selling volatility. Warning bells. The art of concealment. The moral of the story : Leeson's seven lessons. Epilogue. Bibliography -- ch. 11. Société Générale. The making of a rogue trader. From arbitrage to directional trades. Hasty conclusion. When alarm bells are ignored. The art of concealment. The moral of the story. Postscript. Bibliography -- ch. 12. Procter & Gamble. How to reduce financing costs with levered interest rate swaps. Embedded options and hidden risks. Landmark lawsuit. The moral of the story. Bibliography -- ch. 13. Gibson Greeting Cards -- ch. 14. Orange County. Municipal finance in Orange County. A primer on fixed income securities. Anatomy of Orange County asset portfolio. OCIP as a hedge fund. Double jeopardy : how Orange County collapsed. Was filing for bankruptcy warranted? The moral of the story. Epilogue. Bibliography -- ch. 15. Long-term capital management. What are hedge funds? The rise of long-term capital management. The alchemy of finance. Relative value or convergence trades. The central bank of volatility. Straying away from the master plan. The fall of LTCM. The rescue of LTCM. The moral of the story. Epilogue. Bibliography -- ch. 16. AIG. Securitization and credit default swaps. What are Credit Default Swaps (CDS)? The moral of the story -- ch. 17. From theory to malpractice : Lessons learned. Some first principles. Policy recommendations for non-financial firms. Policy recommendations for financial institutions. Policy recommendations for investors. Policy recommendations for regulators ""This timely and well-written book is a m̀ust read' for anyone directly or indirectly involved in financial markets and instruments as well as risk management. By telling actual stories of how rogue traders and incompetent managers put their firms at risk, the author demystifies the complex world of financial derivatives. His incisive and in-depth analysis of all major derivative debacles should help the reader understand what happened and avoid future disasters." Gabriel Hawawini, The Henry Grunfeld Professor of Investment Banking (INSEAD)" ""The author has written a book whose clarity makes it accessible to a wide range of practitioners and executives, and he brings the technical subject matter to life through the concrete examples of the highest profile failures in the use of derivatives." B Craig Owens, Senior Vice President and Chief Financial Officer (Campbell Soup)" ""The book is a timely contribution to a subject that has been at the epicenter of the current financial crisis ... Learning from past mistakes and applying the lessons is what sets this book apart and should make it a useful guide for practitioners." Dr Oliver S Kratz, Head of Global Thematic Equities (Deutsche Bank)" "This book analyzes in depth all major derivative debacles of the last half century including the multi-billin losses and/or bankruptcy of Metallgesellschaft (1994), Barings Bank (1995), Long Term Capital Management (1998), Amaranth (2006), Societe Generale (2008) and AIC (2008). It unlocks the secrets of derivatives by telling the stories of institutions which played in the derivative market and lost big. For some of these unfortunate organizations it was daring but flawed financial engineering which brought them havoc. For others it was unbridled speculation perpetrated by rogue traders whose unchecked fraud brought their house down." "Should derivatives be feared "as financial weapons of mass destruction" or hailed as financial innovations which through efficient risk transfer are truly adding to the Weath of Nations? By presenting a factual analysis of how the malpractice of derivatives played havoc with derivative end-user and dealer institutions, a case is made for vigilance not only to market and counter-party risk but also operational risk in their use for risk management and proprietary trading. Clear and recurring lessons across the different stories call for not only tighter but also "smarter' control system of derivatives trading and should be of immediate interest to financial managers, bankers, traders, auditors and regulators who are directly or indirectly exposed to financial derivatives." "The book groups cases by derivative category, starting with the simplest and building up to the most complex -- namely, forwards, futures, options and swaps in that order, with applications in commodities, foreign exchange, stock indices and interest rates. Each chapter deals with one derivative debacle, providing a rigorous and comprehensive but non-technical elucidation of what happened."--Jacket

this Book Analyzes In Depth All Major Derivative Debacles Of The Last Half Century Including The Multi-billion Losses And/or Bankruptcy Of Metallgesellschaft (1994), Barings Bank (1995), Long Term Capital Management (1998), Amaranth (2006), Société Générale (2008) And Aig (2008). It Unlocks The Secrets Of Derivatives By Telling The Stories Of Institutions Which Played In The Derivative Market And Lost Big. For Some Of These Unfortunate Organizations It Was Daring But Flawed Financial Engineering Which Brought Them Havoc. For Others It Was Unbridled Speculation Perpetrated By Rogue Traders Whose Unchecked Fraud Brought Their House Down.

should Derivatives Be Feared As Financial Weapons Of Mass Destruction Or Hailed As Financial Innovations Which Through Efficient Risk Transfer Are Truly Adding To The Wealth Of Nations? By Presenting A Factual Analysis Of How The Malpractice Of Derivatives Played Havoc With Derivative End-user And Dealer Institutions, A Case Is Made For Vigilance Not Only To Market And Counter-party Risk But Also Operational Risk In Their Use For Risk Management And Proprietary Trading. Clear And Recurring Lessons Across The Different Stories Call For Not Only Tighter But Also Smarter' Control System Of Derivatives Trading And Should Be Of Immediate Interest To Financial Managers, Bankers, Traders, Auditors And Regulators Who Are Directly Or Indirectly Exposed To Financial Derivatives.

the Book Groups Cases By Derivative Category, Starting With The Simplest And Building Up To The Most Complex - Namely, Forwards, Futures, Options And Swaps In That Order, With Applications In Commodities, Foreign Exchange, Stock Indices And Interest Rates. Each Chapter Deals With One Derivative Debacle, Providing A Rigorous And Comprehensive But Non-technical Elucidation Of What Happened.

This book analyzes in depth all major derivatives debacles of the last half century including the multi-billion losses and/or bankruptcy of Metallgesellschaft (1994), Barings Bank (1995), Long Term Capital Management (1998), Amaranth (2006), Société Générale (2008) and AIG (2008). It unlocks the secrets of derivatives by telling the stories of institutions which played in the derivative market and lost big. For some of these unfortunate organizations it was daring but flawed financial engineering which brought them havoc. For others it was unbridled speculation perpetrated by rogue traders whose unchecked fraud brought their house down. Should derivatives be feared "as financial weapons of mass destruction" or hailed as financial innovations which through efficient risk transfer are truly adding to the Wealth of Nations? By presenting a factual analysis of how the malpractice of derivatives played havoc with derivative end-user and dealer institutions, a case is made for vigilance not only to market and counter-party risk but also operational risk in their use for risk management and proprietary trading. Clear and recurring lessons across the different stories call not only for tighter but also "smarter" control system of derivatives trading and should be of immediate interest to financial managers, bankers, traders, auditors and regulators who are directly or indirectly exposed to financial derivatives. The book groups cases by derivative category, starting with the simplest and building up to the most complex - namely, Forwards, Futures, Options and Swaps in that order, with applications in commodities, foreign exchange, stock indices and interest rates. Each chapter deals with one derivative debacle, providing a rigorous and comprehensive but non-technical elucidation of what happened Посвящение Титульный лист Выходные данные Содержание Предисловие Благодарности Глава 1. Деривативы и богатство народов Часть I. ФОРВАРДЫ Глава 2. Showa Shell Sekiyu K. K. Глава 3. Валютные игры в Citibank Глава 4. Bank Negara, Малайзия Часть II. ФЬЮЧЕРСЫ Глава 5. Amaranth Advisors LLC Глава 6. Metallgesellschaft Глава 7. Sumitomo Часть III. ОПЦИОНЫ Глава 8. Allied Lyons Глава 9. Allied Irish Banks Глава 10. Barings Глава 11. Societe Generale Часть IV. СВОПЫ Глава 12. Procter & Gamble Глава 13. Gibson Greeting Cards Глава 14. Округ Ориндж Глава 15. Long-Term Capital Management Глава 16. AIG Глава 17. От теории к практике: полученные уроки Об авторе Алфавитный указатель