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Global derivative debacles : from theory to malpractice
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Global derivative debacles : from theory to malpractice

by Laurent L. Jacque

This study analyses major derivatives debacles from the last half century, including cases at Barings Bank, AIG, and JP Morgan-Chase. It examines the causes of financial failure and evaluates risk management practices and regulatory frameworks such as Basel III.

Accession 12810 ISBN 9789814663267 Publisher World Scientific
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Control Culture Economics Failure History Money Social Sciences
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Identity

name→ title
Global derivative debacles : from theory to malpractice
vernon_id
19988
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12810
vernon_slug
global-derivative-debacles-from-theory-to-malpractice-laurent-l-jacque

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Descriptive

production_date
2015
object_type
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object_status
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brief_description
This book analyzes in depth all major derivatives debacles of the last half century including the multi-billion losses and/or bankruptcy of Metallgesellschaft (1994), Barings Bank (1995), Long Term Capital Management (1998), Amaranth (2006), Societe Generale (2008) , AIG (2008) and JP Morgan-Chase (2012). It unlocks the secrets of derivatives by telling the stories of institutions which played in the derivative market and lost big. For some of these unfortunate organizations it was daring but flawed financial engineering which brought them havoc. For others it was unbridled speculation perpetrated by rogue traders whose unchecked fraud brought their house down.Should derivatives be feared 'as financial weapons of mass destruction' or hailed as financial innovations which through efficient risk transfer are truly adding to the Wealth of Nations? By presenting a factual analysis of how the malpractice of derivatives played havoc with derivative end-user and dealer institutions, a case is made for vigilance not only to market and counter-party risk but also operational risk in their use for risk management and proprietary trading. Clear and recurring lessons across the different stories in this volume call not only for a tighter but also 'smarter' control system of derivatives trading and should be of immediate interest to financial managers, bankers, traders, auditors and regulators who are directly or indirectly exposed to financial derivatives.The book groups cases by derivative category, starting with the simplest and building up to the most complex - namely, Forwards, Futures, Options and Swaps in that order, with applications in commodities, foreign exchange, stock indices and interest rates. Each chapter deals with one derivative debacle, providing a rigorous and comprehensive but non-technical elucidation of what happened.What is new in the second edition? A new chapter on JP Morgan-Chase's London Whale, an in-depth discussion of credit-default swaps, and an update of the revamped regulatory framework with Basel 2.5 and Basel III against the backdrop of the Euro crisis, along with a revised and expanded discussion of the AIG debacle.

Subjects & people

authors→ author (initial fill only)
Laurent L. Jacque
tags→ tags
History, Social sciences, Civilisation, Economics, Investments, Finance, Securities, Options (Finance), Derivative securities -- Prices -- Mathematical models, Derivative securities, Derivative securities -- Mathematical models, Banks and banking
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