The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management?

@article{Chincarini2007TheAD,
  title={The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management?},
  author={Ludwig B. Chincarini},
  journal={Risk Management eJournal},
  year={2007}
}
The speculative activities of hedge funds have generated considerable interest among market agents and regulatory institutions. In September 2006, the activities of Amaranth Advisors, a large-sized Connecticut hedge fund in the natural gas market resulted in serious losses. By September 21, 2006, Amaranth had lost roughly $4.35B over a 3-week period or one half of its assets due to its activities in natural gas futures and options in September. Shortly thereafter, Amaranth fund was liquidated… 

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