FRM(模型风险-LTCM)3

遭遇的主要风险事件(shocks)

1、 1998年8月,俄罗斯国债出乎意外的违约了,造成了新兴市场收益率陡然上升,于是资本开始追求自保,流向较为安全的德国、美国国债,利差进一步加大,投资长期资本企业的投资者们遭到了巨大的损失,因此需要追加额外的担保。Aug. 1998,Russia defaulted on its debt unexpectedly. debt yields of emerging market increase sharply, capitals flighted to US and German debt. Spreads widened ,investors lose money lender demand posting additional collateral.

2、几乎同时,巴西货币陡然贬值,风险收益以及利息率也上升了,这种波动率导致了长期资本企业在权益类产品的波动性策略方面损失巨大,因金融产品每日盯市制度,这种亏损需要补缴保证金,造成了长期资本企业面临着严重的现金流问题。Brazil,currency depreciated sharply,risk premiums and interest rates increased. Volatility led to losses in LTCM’S equity volatility strategies. Meet margin calls, LTCM faced cash flow problems.