LTCM’s Analysis of Risk Management. February 28, 2002 Frank Burke Larry Kissko Gurkan Salk Heather King. Agenda. LTCM Background Swap Spread Trading Strategy Project Analysis Comparison/measurement of LTCM’s Risk Assessment
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February 28, 2002
We focused on of one of LTCM’s biggest trades:
Value At Risk – defined as the expected maximum loss over a target horizon within a given confidence interval
August 21, 2002