LTCM 25 Years Later, Dean Curnutt, Host, Alpha Exchange
Alpha Exchange
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The Trading Strategy and Risks of LTCM
This chapter delves into the trading strategy of Long-Term Capital Management (LTCM) and their focus on long-dated and less liquid options in the equity vol market. It discusses the significant risk Vega and short volatility positions LTCM was exposed to, as well as the risks inherent in crowding through OTC derivatives. The chapter also explores the aftermath of the LTCM financial crisis in 1998 and its impact on the markets.
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