LTCM伝説―怪物ヘッジファンドの栄光と挫折 [単行本]

LTCM was the fund that was too big to fail, the brightest star in the financial world. Built on genius, by legends of Wall Street and two Nobel laureates, it spiralled to ever greater heights, commanding unimaginable wealth. When it fell to earth in September 1998 it shook the world. This is the story of the rise and fall of LTCM and the legends behind it. A brave and ambitious work, Inventing Money was written by leading financial journalist Nicholas Dunbar. --このテキストは、 ハードカバー 版に関連付けられています。

丸裸に解き明かされるLTCM破綻の真実。天才たちは何を間違えたのか。

天才たちによって創設され驚異的な利益を上げたLTCMはなぜ崩壊したのか。危機を回避するために構築されたリスク管理システムそれ自体により起こった金融危機とは、そして丸裸に解き明かされるLTCM破綻の真実とは何か。

The Washington Post described the collapse of the massive hedge fund Long-Term Capital Management as "one of the biggest financial missteps ever to hit Wall Street." The Wall Street Journal called the fund "one of [Wall Streets] most aggressive offspring" and the Financial Times described it as "the fund that thought it was too smart to fail". Business Week put the collapse down to the fact that "Long-Term Capitals rocket science exploded on the launchpad". LTCM was built on genius. Its founding partners included John Meriwether, the once legendary king of bond trading on Wall Street and Robert Merton and Myron Scholes, Nobel laureates in economics who between them (together with the late Fischer Black) all but invented modern finance through their theory on pricing options. Between 1994 and April 1998 LTCM seemed able to turn this genius into staggering profits. At its peak it commanded funds of US$130 billion and a derivatives portfolio with a notional value equivalent to the entire annual budget of the US Government, making fortunes for those who invested in it. Until suddenly it all went very wrong. Incredibly, it was the assumptions buried deep in the small print of Scholes and Mertons theory on option pricing that had begun to break down, and during that fateful summer of 1998 this breakdown was further aggravated by the regulatory-approved risk management systems designed to avert such a disaster. Based on extensive research and interviews, Inventing Money takes the reader on a fascinating journey. Beginning in Ancient Babylon, Nicholas Dunbar steers a path encompassing the American Civil War, an obscure French mathematician, the chance meeting of Merton and Scholes in the late 1960s, Meriwethers brilliant bond coup in the 1980s, up to and beyond the dark days of collapse and rescue in September 1998. As the story moves towards its incredible climax, the layers of LTCMs trading activities are stripped bare to reveal brilliance and controversy. Merton, Scholes and Meriwether are at the con of this captivating story but as it unfolds, the reader is introduced to legendary characters in the world of finance, moments of groundbreaking scientific discovery and a clear explanation of the seemingly complex seeds of ultimate collapse — options, futures and derivatives. Finance
--このテキストは、 ハードカバー 版に関連付けられています。

"...a primer for those interested in the world of financial theory."
--Financial Times

"Inventing Money is not the last word on the subject, but it is a good start."
--The Economist

"Dunbar tells the full story of this most public of financial disasters, unveiling previously undisclosed information, in captivating and accessible terms."
--EuroBusiness

"Mr Dunbar has gained the rare distinction of writing an interesting and informative book on a very complex financial subject and for that he deserves much credit."
--Offshore Financial Review

"Dunbar offers us a well-written and informative account of how the company's culture developed, and why LTCM plummeted so dramatically."
--Balance Sheet

"It is a fast moving and readable account that explains the development of finance over the centuries before recounting the brief but eventful life of LTCM."
--Risk

"A fascinating tale, not to be missed."
--Chartered Secretary

"...his brave effort to explore the LTCM fiasco, its origins, and its ramifications. Dunbar is a former academician and journalist, making him an ideal writer to explore the theoretical origins of LTCM.

The author excels with his affectionate portrait of financial-theory giants such as the late Fischer Black. This book is a good source of information on the theoretical underpinnings of modern arbitrage."
--Business Week

"Nicholas Dunbar has written a fascinating account of this spectacular episode, and in doing so has provided an instructive insight into the functioning of global capitalism."
--CIB News

"Nicholas Dunbar's fascinating book is well-written. The book should appeal to a wide audience. Economists should certainly read it. Dunbar writes in a clear and accessible manner." --このテキストは、 ハードカバー 版に関連付けられています。

The Washington Post described the collapse of the massive hedge fund Long-Term Capital Management as "one of the biggest financial missteps ever to hit Wall Street." The Wall Street Journal called the fund "one of [Wall Streets] most aggressive offspring" and the Financial Times described it as "the fund that thought it was too smart to fail". Business Week put the collapse down to the fact that "Long-Term Capitals rocket science exploded on the launchpad". LTCM was built on genius. Its founding partners included John Meriwether, the once legendary king of bond trading on Wall Street and Robert Merton and Myron Scholes, Nobel laureates in economics who between them (together with the late Fischer Black) all but invented modern finance through their theory on pricing options. Between 1994 and April 1998 LTCM seemed able to turn this genius into staggering profits. At its peak it commanded funds of US$130 billion and a derivatives portfolio with a notional value equivalent to the entire annual budget of the US Government, making fortunes for those who invested in it. Until suddenly it all went very wrong. Incredibly, it was the assumptions buried deep in the small print of Scholes and Mertons theory on option pricing that had begun to break down, and during that fateful summer of 1998 this breakdown was further aggravated by the regulatory-approved risk management systems designed to avert such a disaster. Based on extensive research and interviews, Inventing Money takes the reader on a fascinating journey. Beginning in Ancient Babylon, Nicholas Dunbar steers a path encompassing the American Civil War, an obscure French mathematician, the chance meeting of Merton and Scholes in the late 1960s, Meriwethers brilliant bond coup in the 1980s, up to and beyond the dark days of collapse and rescue in September 1998. As the story moves towards its incredible climax, the layers of LTCMs trading activities are stripped bare to reveal brilliance and controversy. Merton, Scholes and Meriwether are at the con of this captivating story but as it unfolds, the reader is introduced to legendary characters in the world of finance, moments of groundbreaking scientific discovery and a clear explanation of the seemingly complex seeds of ultimate collapse — options, futures and derivatives. Finance
--このテキストは、 ハードカバー 版に関連付けられています。

NICHOLAS DUNBAR studied physics in the UK at Manchester and Cambridge and finally in the US at Harvard University, where he gained a Master's degree in earth and planetary sciences. During this period his interests ranged from quantum mechanics and black holes to evolution and the history of global climate change. His teachers included Stephen Hawking at Cambridge and Stephen Jay Gould at Harvard. In 1990, Dunbar decided to leave academia. He spent the next few years working in feature films and television, in a wide range of capacities. In 1996, after launching the television production company Flicker Films, a chance encounter with some old Harvard friends set him on a new path of finance and science writing, focusing on the derivatives industry. In 1998, he joined Risk magazine as technical editor. He is 33 and lives in London. --このテキストは、 ハードカバー 版に関連付けられています。

ダンバー,ニコラス
英国マンチェスター大学・ケンブリッジ大学、さらに米国ハーバード大学で物理学を専攻。米国ハーバード大学で地球物理学修士号を取得。1990年、学界を離れることを決意。96年、ハーバード大の旧友の紹介で金融工学とくにデリバティブ業界に焦点を絞った執筆活動に入る。98年に“RISK”誌にテクニカル・ライターとして入社。ロンドン在住

寺沢 芳男
1931年栃木県生まれ。54年早稲田大学政治経済学部卒業、野村証券入社。57年米国ペンシルバニア大学大学院ウォートンスクールに留学(フルブライト奨学生)。72年米国野村証券社長。81年日本人初のニューヨーク証券取引所正会員、82年米国野村証券会長、88年MIGA(世界銀行グループの多数国間投資保証機関)の初代長官。92年参議院議員当選。94年4月羽田内閣において国務大臣・経済企画庁長官、99年からローン・スター・ジャパン会長。著書に『ウォール・ストリート日記』(主婦の友社)、『英語オンチが国を亡ぼす』(東洋経済新報社)ほか多数(本データはこの書籍が刊行された当時に掲載されていたものです)