The Empirical Distribution of Swap Spreads and the LTCM Disaster
Project Synopsis
The goal of our project was to better understand the risks taken by Long-Term Capital Management (LTCM) in its swap positions and attempt, using the tools and ideas presented in Global Asset Allocation, to improve upon LTCM's risk management and provide a truer assessment of its actual swap spread position risks.
The
Fuqua School of Business
Last Update: March 03, 2002