论文部分内容阅读
1998年9月,抵押投资金额超过1万亿美元的美国长期资本管理公司传出濒临倒闭的消息,市场方向和产品的准确把握,金融衍生工具定价新方法的运用,以及经验丰富的政府监管工作所带来的风险防范和控制经验仍没能让它安全脱险。本文在结合对冲基金典型特征和美国长期资本管理公司的实际案例分析后认为,风险模型的运用、绩效激励模式以及杠杆投资能够成就其风光一时,同时也是使得“梦幻组合”败走麦城的根本原因。最后针对以“阳光私募”为典型代表的我国私募基金公司给出风险控制和监管建议。
In September 1998, the U.S. long-term capital management company that mortgaged more than $ 1 trillion of mortgages came out with information on the verge of bankruptcy, an accurate grasp of market orientation and products, the application of new methods of pricing financial derivatives, and experienced government supervision The resulting risk prevention and control experience still failed to make it safe out of danger. Combining the typical characteristics of hedge funds and the actual case analysis of long-term capital management companies in the United States, this article argues that the use of risk models, performance incentive models and leveraged investments can make their scenery a success, at the same time it also makes the “fantasy combination” The root cause. At last, we put forward the risk control and supervision suggestion for the private equity fund in our country, which is represented by “sunshine private equity ”.