The Black Swan: The Impact of the Highly Improbable · chapter 7 · id the-black-swan-c7-04-ltcm-long-term-capital-managem
“LTCM (Long-Term Capital Management), run by Nobel Prize winners Myron Scholes and Robert Merton, used leverage of approximately 25-30:1, held $125 billion in assets on $4 billion in capital, with $1 trillion in off-balance-sheet derivatives, and lost $4.6 billion in 1998 before being bailed out by 14 banks orchestrated by the Federal Reserve.”
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Federal Reserve History: Near Failure of Long-Term Capital Managementsource alive
In September 1998, a group of 14 banks and brokerage firms invested $3.6 billion in LTCM to prevent the hedge fund's imminent collapse. The arrangement was facilitated by the Federal Reserve.
Wikipedia: Long-Term Capital Managementsource alive
LTCM's board included Nobel laureates Myron Scholes and Robert Merton, who shared the 1997 Nobel Prize for their work on the Black-Scholes model. LTCM's on-balance-sheet assets totalled around $125 billion on a capital base of $4 billion (leverage of about 30x), with off-balance-
UC Berkeley: Lessons from the Collapse of LTCMsource alive
The fund lost 44% of its value in August 1998 alone ($2.1 billion), and 52% ($2.5 billion) year-to-date by September. The Russian debt crisis triggered a flight to liquidity that caused LTCM's convergence trades to diverge catastrophically.
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