FRM一级Financial disaster

序号当事人涉案公司涉案金额

1—Drysdale&Chase

Manhattan bank

300million

2Joseph Jett Kidder Peabody350million 3Nick Leeson Barings Bank

起因

1. Drysdale borrowed 300M by exploiting a flaw in the US government bond without collateral

2. Drysdale took the wrong position and lost all 300M

3. Chase manhattan absorbed all the losses cause inexperienced managers in Chase believed they were just a middleman

1. The head of the government bond trading desk at Kidder Peabody, Joseph Jett, reported substantial artificial profits. After the false profits were detected, $350 million in previously reported gains had to be reversed, The loss was not actual.

2. The system failed to realize that this profit would disappear once financing costs for the cash bond were taken into account.

1. Hidden trading losses at Barings induced Nick Leeson to abandon hedging strategies in favor of speculative strategies. A lack of operational oversight and his dual roles as trader and settlement officer allowed him to conceal his activities and losses.

2. Speculative strategies:

Selling straddle on the Nikkei 225.

Long-long futures on Nikkei 225 in both Tokyo and Singapore

3. Dual roles

经验教训

1. Need for more precise methods for computing the value of collateral.

2. Need for better process control.The need for a process that forced areas contemplating new product offerings to receive prior approval from representatives of the principal risk control functions within the firm.

1. Always investigate a stream of large unexpected profits thoroughly and make sure you completely understand the source.

2. Periodically review models and systems to see if changes in the way they are being used require changes in simplifying assumptions.