Finančni instrumenti in propad podjetja LTCM : delo diplomskega seminarja

Rudolf, Eva (author), Kokol Bukovšek, Damjana (mentor), Toman, Aleš (comentor)

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.

• Language: Slovenian
• Keywords: LTCM, sklad tveganega kapitala, finančni vzvod, konvergenčno trgovanje, arbitraža, trgovanje z volatilnostjo, finančna kriza
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2023
• PID: 20.500.12556/RUL-149629
• UDC: 519.8
• COBISS.SI-ID: 163777795
• Publication date in RUL: 08.09.2023

Secondary language

• Language: English
• Title: Financial instruments and the fall of LTCM

Abstract

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.

• Keywords: LTCM, hedge fund, leverage, convergence trading, arbitrage, volatility trading, financial crisis