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

@inproceedings{Chincarini2007TheAD,
  title={The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management?},
  author={Ludwig Boris Chincarini},
  year={2007}
}
The speculative activities of hedge funds are a hot topic among market agents and authorities. In September 2006, the activities of Amaranth Advisors, a mid-sized Connecticut hedge fund sent menacing ripples through the natural gas market. By September 22, 2006, Amaranth had lost roughly $5.85B or two thirds of its assets due to its activities in natural gas futures and options. Three months later, Amaranth funds were being liquidated. This paper presents a detailed investigation of the… CONTINUE READING