文档介绍：Derivatives Mishaps and What We Can Learn from Them
Chapter 30
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Big Losses by Financial Institutions
Allied Irish Bank ($700 million)
Barings ($1 billion)
Chemical Bank ($33 million)
Daiwa ($1 billion)
Kidder Peabody ($350 million)
LTCM ($4 billion)
Midland Bank ($500 million)
National Bank ($130 million)
Sumitomo ($2 billion)
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Big Losses by Non-Financial Corporations
Allied Lyons ($150 million)
Gibsons Greetings ($20 million)
Hammersmith and Fulham ($600 million)
Metallgesellschaft ($ billion)
Orange County ($2 billion)
Procter and Gamble ($90 million)
Shell ($1 billion)
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Lessons for All Users of Derivatives
Risk must be quantified and risk limits set
Exceeding risk limits not acceptable even when profits result
Do not assume assume that a trader with a good track record will always be right
Be diversified
Scenario analysis and stress testing is important
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Lessons for Financial Institutions
Do not give too much independence to star traders
Separate the front middle and back office
Models can be wrong