Ich bin jetzt mal faul, und stell einfach den Artikel rein, den nikitskyfund.com (S. 8 ) geschrieben hat. Der ganze Report ist sehr lesenswert.
How could it have Happened – II?
The LTCM Precedent
When in 1998 Long-Term Capital Management went to the wall – ironically, threatening to take down Lehman Bros in its wake – what happened was not that a single risk was badly miscalculated, destabilizing
their entire business model – their model was sufficiently robust to deal with one or even several outliers. Instead, what happened is that their system implicitly treated individual risks as independent, yet in the event, when one of them swung out to a six-sigma deviation, all of the others followed, and internal correlations drove prices further and further from any rational level.
This appears to provide a serviceable analogy for the Chernobyl-style events now ricocheting through the global economy. While many economists, ourselves included, had warned of the danger of single events, i.e. a collapse in the CDOs, failure of the SIVs and other offbalance sheet entities, a housing crisis, bank failures, Fannie/Freddie, the bankruptcy of the US carmakers, a collapse of the US, British and Spanish housing markets, a failure of the Baltic/Balkan finance model, etc. etc. what we failed to appreciate was that they could all happen simultaneously, i.e. that each outlier event could trigger the others. It has.
Und noch ein guter Bericht aus der gleichen Feder – 41 Thesen (nur 41, weil Martin Luther mit 95 Thesen nicht nur gute Erfahrungen gemacht hat).