20.500.12556/RUL-149629 Finančni instrumenti in propad podjetja LTCM delo diplomskega seminarja Financial instruments and the fall of LTCM Finančno podjetje Long-Term Capital Management je bilo ustanovljeno februarja leta 1994 s kapitalom v višini 1,25 milijarde dolarjev in je močno zaznamovalo finančne trge v devetdesetih letih 20. stoletja. Podjetje je delovalo kot sklad tveganega kapitala in je pri trgovanju uporabljalo natančne matematične modele. Sklepali so predvsem posle z razponom med cenami finančnih instrumentov, med katerimi sta bila najpogostejša konvergenčno trgovanje z obveznicami in trgovanje z delniškimi pari. Ker so razponi med cenami praviloma zelo majhni, so trgovali z visokim finančnim vzvodom. V prvih letih poslovanja so dosegli velik uspeh, nato pa je prišlo do dveh finančnih kriz, ki jih modeli podjetja niso bili sposobni predvideti. Med krizama so se razponi med cenami začeli večati, trgovalci podjetja LTCM pa so pričeli posegati po vedno bolj tveganih trgovalnih strategijah, kot je trgovanje z volatilnostjo, kar je podjetje pripeljalo na rob propada. Propad sklada podjetja LTCM bi zaradi njegove velikosti in vpletenosti številnih svetovnih bank povzročil globalno finančno krizo, zato se je v situacijo vpletla ameriška centralna banka Federal Reserve in skupaj z vodilnimi wallstreetskimi investicijskimi bankami pomagala likvidirati sklad tveganega kapitala podjetja LTCM. V delu diplomskega seminarja predstavimo podjetje LTCM, njegove trgovalne strategije, njegov uspeh in propad. The financial firm Long-Term Capital Management was founded in February 1994 with a capital of 1.25 billion dollars and had a significant impact on financial markets in the 1990s. The firm operated as a hedge fund and used precise mathematical models in their trading strategies. They focused mainly on spread trading, the most common of which were convergence bond trading and trading in equity pairs. As the spreads between prices were usually very small, they were traded with high leverage. LTCM achieved great success in the first years of trading, but then two financial crises occurred that their models were not able to predict. Between the two crises, spreads between prices started to widen and LTCM traders started to resort to increasingly riskier trading strategies, such as volatility trading, which brought the firm to the brink of collapse. The collapse of LTCM’s fund would have triggered a global financial crisis due to its size and the involvement of many banks around the world, so the Federal Reserve stepped in and helped liquidate LTCM’s hedge fund with the help of Wall Street’s leading investment banks. In our thesis we present the firm LTCM, its trading strategies, its success and its collapse. LTCM sklad tveganega kapitala finančni vzvod konvergenčno trgovanje arbitraža trgovanje z volatilnostjo finančna kriza LTCM hedge fund leverage convergence trading arbitrage volatility trading financial crisis true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2023-09-08 08:15:07 2023-09-08 08:15:10 2024-05-29 10:54:55 0000-00-00 00:00:00 2023 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 135494 163777795 9562.pdf 9562.pdf 1 8ED489CA9C99FF3E81C64B8934C8AF46 c11b31e56e119fcbfb9ad702823be0fb13cf40eb149f77460e0570e3bf84b229 1079b7b7-4e0f-11ee-9323-0050569b8976 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=174115 Fakulteta za matematiko in fiziko 0 0 0