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When Genius Failed: The Rise and Fall of Long-Term Capital Management (Anglais) Broché – 9 octobre 2001

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Introduction

The Federal Reserve Bank of New York is perched in a gray, sandstone slab in the heart of Wall Street. Though a city landmark building constructed in 1924, the bank is a muted, almost unseen presence among its lively, entrepreneurial neighbors. The area is dotted with discount stores and luncheonettes-and, almost everywhere, brokerage firms and banks. The Fed's immediate neighbors include a shoe repair stand and a teriyaki house, and also Chase Manhattan Bank; J. P. Morgan is a few blocks away. A bit further, to the west, Merrill Lynch, the people's brokerage, gazes at the Hudson River, across which lie the rest of America and most of Merrill's customers. The bank skyscrapers project an open, accommodative air, but the Fed building, a Florentine Renaissance showpiece, is distinctly forbidding. Its arched windows are encased in metal grille, and its main entrance, on Liberty Street, is guarded by a row of black cast-iron sentries.

The New York Fed is only a spoke, though the most important spoke, in the U.S. Federal Reserve System, America's central bank. Because of the New York Fed's proximity to Wall Street, it acts as the eyes and ears into markets for the bank's governing board, in Washington, which is run by the oracular Alan Greenspan. William McDonough, the beefy president of the New York Fed, talks to bankers and traders often. McDonough especially wants to hear about anything that might upset markets or, in the extreme, the financial system. But McDonough tries to stay in the background. The Fed has always been a controversial regulator-a servant of the people that is elbow to elbow with Wall Street, a cloistered agency amid the democratic chaos of markets. For McDonough to intervene, even in a small way, would take a crisis, perhaps a war. And in the first days of the autumn of 1998, McDonough did intervene-and not in a small way.

The source of the trouble seemed so small, so laughably remote, as to be insignificant. But isn't it always that way? A load of tea is dumped into a harbor, an archduke is shot, and suddenly a tinderbox is lit, a crisis erupts, and the world is different. In this case, the shot was Long-Term Capital Management, a private investment partnership with its headquarters in Greenwich, Connecticut a posh suburb some forty miles from Wall Street. LTCM managed money for only one hundred investors, it employed not quite two hundred people, and surely not one American in a hundred had ever heard of it. Indeed, five years earlier, LTCM had not even existed.

But on the Wednesday afternoon of September 2-3, 1998, Long-Term did not seem small. On account of a crisis at LTCM, McDonough had summoned-- invited," in the Fed's restrained idiom-the heads of every major Wall Street bank. For the first time, the chiefs of Bankers Trust, Bear Stearns, Chase Manhattan, Goldman Sachs, J.P. Morgan, Lehman Brothers, Merrill Lynch, Morgan Stanley Dean Witter, and Salomon Smith Barney gathered under the oil portraits in the Fed's tenth-floor boardroom-not to bail out a Latin American nation but to consider a rescue of one of their own. The chairman of the New York Stock Exchange joined them, as did representatives from major European banks. Unaccustomed to hosting such a large gathering, the Fed did not have enough leather-backed chairs to go around, so the chief executives had to squeeze into folding metal seats.

Although McDonough was a public official, the meeting was secret. As far as the public knew, America was in the salad days of one of history's great bull markets, although recently, as in many previous autumns, it had seen some backsliding. Since mid-August, when Russia had defaulted on its ruble debt, the global bond markets in particular had been highly unsettled. But that wasn't why McDonough had called the bankers.

Long-Term, a bond-trading firm, was on the brink of failing. The fund was run by, John W. Meriwether, formerly a well-known trader at Salomon Brothers. Meriwether, a congenial though cautious midwesterner, had been popular among the bankers. It was because of him, mainly, that the bankers had agreed to give financing to Long Term-and had agreed on highly generous terms. But Meriwether was only the public face of Long-Term. The heart of the fund was a group of brainy, Ph.D.-certified arbitrageurs. Many of them had been professors. Two had won the Nobel Prize. All of them were very smart. And they knew they were very smart.

For four years, Long-Term had been the envy of Wall Street. The fund had racked up returns of more than 40 percent a year, with no losing stretches, no volatility, seemingly no risk at all. Its intellectual supermen had apparently been able to reduce an uncertain world to rigorous, cold-blooded odds-they were the very best that modern finance had to offer.

Incredibly, this obscure arbitrage fund had amassed an amazing $100 billion in assets, all of it borrowed-borrowed, that is, from the bankers at McDonough's table. As monstrous as this leverage was, It was by no means the worst of Long-Term's problems. The fund had entered into thousands of derivative contracts, which had endlessly intertwined it with every bank on Wall Street. These contracts, essentially side bets on market prices, covered an astronomical sum-more than $1 trillion worth of exposure.

If Long-Term defaulted, all of the banks in the room would be left holding one side of a contract for which the other side no longer existed. In other words, they would be exposed to tremendous-and untenable-risks. Undoubtedly, there would be a frenzy as every bank rushed to escape its now one-sided obligations and tried to sell its collateral from Long-Term.

Panics are as old as markets, but derivatives were relatively new. Regulators had worried about the potential risks of these inventive new securities, which linked the country's financial institutions in a complex chain of reciprocal obligations. Officials had wondered what would happen if one big link in the chain should fall. McDonough feared that the markets would stop working, that trading would cease; that the system itself would come crashing down.

James Cayne, the cigar-chomping chief executive of Bear Stearns, had been vowing that he would stop clearing Long-Term's trades which would put it out of business-if the fund's available assets fell below $500 million. At the start of the year, that would have seemed remote, for Long-Term's capital had been $4.7 billion. But during the past five weeks, or since Russia's default, Long-Term had suffered numbing losses-day after day after day. Its capital was down to the minimum. Cayne didn't think it would survive another day.

The fund had already gone to Warren Buffett for money. It had gone to George Soros. It had gone to Merrill Lynch. One by one, it had asked every bank it could think of. Now it had no place left to go. That was why, like a godfather summoning rival and potentially warring- families, McDonough had invited the bankers. If each one moved to unload bonds individually, the result could be a worldwide panic. If they acted in concert, perhaps a catastrophe could be avoided. Although McDonough didn't say so, he wanted the banks to invest $4 billion and rescue the fund. He wanted them to do it right then-tomorrow would be too late.

But the bankers felt that Long-Term had already caused them more than enough trouble. Long-Term's secretive, close-knit mathematicians had treated everyone else on Wall Street with utter disdain. Merrill Lynch, the firm that had brought Long-Term into being, had long tried to establish a profitable, mutually rewarding relationship with the fund. So had many other banks. But Long-Term had spurned them. The professors had been willing to trade on their terms and only on theirs-not to meet the banks halfway. The bankers did not like it that now Long-Term was pleading for their help.

And the bankers themselves were hurting from the turmoil that Long-Term had helped to unleash. Goldman Sach's CEO, Jon Corzine, was facing a revolt by his partners, who were horrified by Goldman's recent trading losses and who, unlike Corzine, did not want to use their diminishing capital to help a competitor. Sanford I. Weill, chairman of TravelersSalomon Smith Barney, had suffered big losses, too. Weill was worried that the losses would jeopardize his company's pending merger with Citicorp, which Weill saw as the crowning gem to his lustrous career. He had recently shuttered his own arbitrage unit-which, years earlier, had been the launching pad for Meriwether's career-and did not want to bail out another one.

As McDonough looked around the table, every one of his guests was in greater or lesser trouble, many of them directly on account of Long-Term. The value of the bankers' stocks had fallen precipitously. The bankers were afraid, as was McDonough, that the global storm that had begun so innocently with devaluations in Asia, and had spread to Russia, Brazil, and now to Long-Term Capital, would envelop all of Wall Street.

Richard Fuld, chairman of Lehman Brothers, was fighting off rumors that his company was on the verge of failing due to its supposed overexposure to Long-Term. David Solo, who represented the giant Swiss bank Union Bank of Switzerland (UBS), thought his bank was already in far too deeply, it had foolishly invested in Long-Term and had suffered titanic losses. Thomas Labrecque's Chase Manhattan had sponsored a loan to the hedge fund of $500 million; before Labrecque thought about investing more, he wanted that loan repaid.

David Komansky, the portly Merrill chairman, was worried most of all. In a matter of two months, the value of Merrill's stock had fallen by half-$19 billion of its market value had simply melted away. Merrill had suffered shocking bond-trading losses, too. Now its own credit rating was at risk.

Komansky, who personally had invested almost $1 million in the fund, was terrified of the chaos that would result if Long-Term collapsed. But he knew how much antipathy there was in the room toward Long-Term. He thought the odds of getting the bankers to agree were a long shot at best.

Komansky recognized that Cayne, the maverick Bear Stearns chairman, would be a pivotal player. Bear, which cleared Long-Term's trades, knew the guts of the hedge fund better than any other firm. As the other bankers nervously shifted in their seats, Herbert Allison, Komansky's number two, asked Cayne where he stood.

Cayne stated his position clearly: Bear Stearns would not invest a nickel in Long-Term Capital.

For a moment the bankers, the cream of Wall Street, were silent. And then the room exploded.


From the Hardcover edition.

Revue de presse

“A riveting account that reaches beyond the market landscape to say something universal about risk and triumph, about hubris and failure.”—The New York Times

“[Roger] Lowenstein has written a squalid and fascinating tale of world-class greed and, above all, hubris.”—Business Week

“Compelling . . . The fund was long cloaked in secrecy, making the story of its rise . . . and its ultimate destruction that much more fascinating.”—The Washington Post
 
“Story-telling journalism at its best.”—The Economist

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4.3 étoiles sur 5
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Format: Broché
J'ai acheté ce livre pour deux raisons: d'abord parce qu'il colle parfaitement à l'époque de crise que nous vivons, tout en prenant du recul puisqu'il décrit des événements qui se sont passés il y a plus de dix ans. La seconde raison c'est qu'il met en scène les protagonistes d'un autre livre de référence sur Wall Street, "Liars poker" de Michael Lewis.

Le livre décrit l'ascension et la chute du hedge fund LTCM qui comptait parmi ses partners les meilleurs professionnels de Wall Street ainsi que deux prix Nobels et non des moindres: R. Merton et le fameux M. Scholes, l'inventeur de la célébrissime formule de Black et Scholes qu'on apprend dans tous les cours de finance. LTCM c'est donc un peu un cas d'école.

Face à un sujet aussi aride, notre auteur s'en sort plutôt bien. Il parvient à retracer le fil des événements de manière précise. Les explications techniques sont claires mais minimales. Mieux vaut disposer de quelques rudiments de finance. Quant au contenu, la seule chose qu'on puisse dire est qu'il est édifiant. Sensation de vertige (et de nausée) assurée.
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Par Un client le 4 septembre 2003
Format: Broché
Encore un livre très intéressant sur le fond LCTM et sur ses traders extraordinaires. Certainement l'histoire la plus complète et la mieux narrée sur le sujet, sujet qui est hélas aujourd'hui sur-exploité. Mais bon, c'est quand même un très bon livre.
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For finance students, this is a very exciting book from which they can draw good lessons. It's well written and the "behind the scenes" stories in this book make it very particular.
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When genius failed est un excellent livre, très bien écrit, relatant et analysant avec détail les évènements ayant contribué à la chute de LTCM. Seul petit regret : très peu d'humour dans cet ouvrage, ce qui rend la comparaison difficile avec d'autres ouvrages du même genre tels que Liar's Poker de Lewis, Monkey business de Rolfe ou encore Barbarians at the Gate de Helliard. Le récit est sérieux, l'ouvrage n'en demeure pas moins passionant à lire.
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Commentaires client les plus utiles sur Amazon.com (beta) (Peut contenir des commentaires issus du programme Early Reviewer Rewards)

Amazon.com: 4.5 étoiles sur 5 414 commentaires
2 internautes sur 2 ont trouvé ce commentaire utile 
5.0 étoiles sur 5 Roger Lowenstein’s book contains an extraordinary amount of detail. ... 11 avril 2015
Par Richard Bobb - Publié sur Amazon.com
Format: Broché Achat vérifié
Roger Lowenstein’s book contains an extraordinary amount of detail. There’s nothing wrong with that.

The gist of the story is that no amount of financial modelling can overcome a “black swan” event, even though the term “black swan” was not a known term at the time of these events.

Fast forward from 1998 to 2008 and the term “black swan” has become a key piece of “financial lexicon” when considering what unforseen uncertainty might do to the value of financial assets and liabilities.

With the benefit of hindsight, some of the geniuses at Long Term Capital Management might have considered financial modelling for a “black swan” event.

The story is also one for detailing the shortcoming and weakness of human character. For example:

• Hubris v humility;
• Arrogance v meekness
• Over confidence v modesty;
• Pride v humility;
• Condescension v respect;
• Disdain v respect;
• Contempt v admiration

and so it goes on.

A reader is somewhat reminded by the verse “as you shall sow, then so shall you reap”. Such an apt phrase seemingly applies throughout the book, but the one stand out is when management decides to fully redeem the capital of the outside investors, with a view to increasing management’s share of the pie, only to find that the geniuses at Long-Term Capital Management had failed to realise that by shafting these investors, they had (in the end) shafted themselves.
2 internautes sur 2 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 History doesn't repeat itself, but it rhymes. 31 mai 2015
Par J. Edgar Mihelic, MBA - Publié sur Amazon.com
Format: Format Kindle Achat vérifié
There is a scene late in the book, where all the major bankers are hanging out in the halls of the Fed.
Thy may not get the money from the Fed, but in the end the central bank has to come in as an intermediary.

That scene, though ten years early, is so reminiscent of the scene in 2008 when all the bankers are also hanging out at the Fed. I think Sorkin really hits it in "Too Big to Fail".

Basically, the story is that you shouldn't trust an individual firm to rate their own risk. That never works out. This is true no matter how many Nobel Prizes you have hanging around.
2 internautes sur 2 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 it's people and egos, not models and numbers 7 mai 2014
Par Natasha - Publié sur Amazon.com
Format: Format Kindle Achat vérifié
Although this novel was at times quite dense, it provided very fascinating insights into the world of Wall Street. It was not just a world of numbers, but rather competing unchecked egos, high-stakes, and a rejection of the potential for defeat. If you are not familiar with finance, this book can drag a bit. However, it does teach you a lot (despite its haughty tone and vocabulary). What is important here is how there are people behind the numbers-- and too often that is a fact overlooked by investors and Wall Street alike.
5 internautes sur 5 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 A story of mathematical precision vs. human unpredictability 20 août 2007
Par Winston Kotzan - Publié sur Amazon.com
Format: Broché Achat vérifié
This classic Wall Street story is another must-read for anyone with an interest in money management. When Genius Failed chronicles the failure of the hedge fund Long Term Capital Management (LTCM), a pioneer in quantitative investment strategies. With roots from the renowned Salomon investment bank, LTCM gathered some of the world's top financial gurus to design mathematical arbitrage strategies so well planned, they were widely regarded as having virtually no risk. Among the mathematical wizards was Myron Scholes, co-creator of the Black-Scholes model.

After several years of handsome returns, this formula turned out too good to be true. After convincing investment banks and clients to pour billions of dollars into this near-"riskless" fund, tragedy struck in 1998. A credit crisis in Asia prompted a chain reaction of panic that the fund's mathematical models could not anticipate. The story of this fund's collapse proves that markets are not efficient. It is a lesson that precision calculations in the world of finance, no matter how correct or ingenious, are no match for human irrationality when panic strikes.

Amplifying the unforeseen risk of the fund were human errors made by the principals. The firm's superior performance depended on incredible leverage (borrowed money), but that leverage also led to LTCM's demise when the margin calls hit. The principals also deviated from their core investment strategy when arbitrage opportunities started to dry up; they began making directional bets and speculating, something for which mathematical models are just inadequate for quantifying the risk.

One disadvantage of this book is that it focuses so much on the people involved that it sacrifices explanation of the market forces behind the Asian currency crisis. I felt that some chapters contained too many dry details on the interaction between the LTCM principals and the banks.

The advantage of its focus on people is that the reader can see many of today's Wall Street icons in action. Almost a continuation of Liar's Poker, many of the same Salomon traders including John Meriwether are pivotal to LTCM. Warren Buffett and George Soros play a role, allowing readers to see their investment acumen at work. Many Wall Street characters and investment banks still prevalent in today's news were plugged into the LTCM fiasco.

Because of the high-profile characters and Wall Street firms involved with LTCM, this is a great read for students aspiring for a career on the Street. It also provides good insight into trading strategies and the hedge fund world. I would recommend When Genius Failed to anyone with an interest in investing.
5.0 étoiles sur 5 Very entertaining and lessons for all traders 22 février 2017
Par Meritt J Finer - Publié sur Amazon.com
Format: Broché Achat vérifié
When Genius Failed was a great read. Lowenstein did a terrific job of introducing the reader to the quirky personalities at Long Term Capital and their interactions with Wall Street, European and Asian investment banks and the Fed. The real genius of the book was that Lowenstein nailed WHY genius failed. The same lessons the professors and traders at Long Term Capital failed to learn are the ones that all traders need to know. Trading in the financial markets is art as well as science. Knowing what quantitative models can and cannot do, and knowing when a model’s underlying assumptions are violated are key to successful trading. And finally, having the humility to accept that no matter how smart you are (or think you are) the financial markets can and will periodically make you look like an idiot.
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