Long-Term Capital Management

Long-Term Capital Management appears in EP90 从美加墨世界杯看懂期权—华尔街的终极武器 as the episode’s warning that elite quantitative finance can still fail under extreme conditions. The source describes LTCM as using complex models, convergence arbitrage, and high leverage before the 1998 Russian default and global market stress produced large losses and a coordinated rescue.

The case anchors Financial Model Risk in the wiki. It complements the Jim Simons and Renaissance Technologies pages by showing that model-driven investing is not one thing: execution, leverage, liquidity, crowding, and regime assumptions determine whether a strategy survives.

Connections

• Financial Model Risk — main concept added through the LTCM case.
• Quantitative Investing — adjacent model-driven investing context.
• Market Regime Shift — stress condition that can break assumptions.
• Derivative Amplified Volatility — derivatives and leverage can magnify shocks.
• Investment Risk Management — leverage and liquidity discipline are the practical lesson.