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1、CHAPTER19UNDERSTANDINGANDMONITORINGTHELIQUIDITYCRISISCYCLE∗RichardBookstaberIntheaftermathoftheLong-TermCapitalManagementdebacle,itisclearthatalargehedgefundcanhaveasystemicimpactonthemarket.Thehighleverage,forcedliquidations,decliningliquidity,andcascadeofwideningspreadsturnedt
2、heGreenwich,Connecticut,hedgefundslossesintoaglobalevent.Withoutaninfusionofcapitaltostemtheneedtoliquidatetomeetmargincallsfromitscreditors,LTCMsdemiseandthecollaterallosstoitscreditorsappearstohavebeeninevitable.Thenaturalquestionstoaskare:Whatwasthecauseofthecrisis?Howcanthis
3、typeofcrisisbepreventedinthefuture?RecentregulatoryinvestigationintoLTCMstartedwithanill-definedtarget,thecom-munityofhighlyleveredinstitutions.Thereareproblems,however,withpointingtohighleverageasthecriticalcharacteristicintheLTCMcrisisand,forthatmatter,inthegeneraldescriptionof
4、hedgefunds.Themostimmediateproblemisdefiningwhatleveragemeans.Afterall,usingconventionalmeasuresofleverage,theleverageofmanyhedgefundspalesbesidethe20timesleverageofthebroker/dealercommunity.Anotherproblemisunder-standingwhyleverageshouldmatter.Ahedgefundthatholdsone-yearU.S.T-b
5、illswith10:1leveragewouldnotbeconsideredinthesameleagueasafundthatislevered2:1inriskierandless-liquidRussianMinistryofFinancebonds.Finally,notallhedgefundsarehighlyleveredbyanydefinition.Atanytime,wecanusuallyfindsomeofthelargesthedgefundswithunencum-beredcashthatis,notonlywithpos
6、itionsthatareunleveredbutalsowithfreecashtospare.Thecharacteristicsofhedgefundsandotherfinancialinstitutionsthatleadtopotentialcrisesdonotrestentirelywiththeirabilitytotakeonleverageorwiththeirabilitytotakelargerisksortoinvestinilliquidmarkets.Ifafundishighlyleveredbutininstrumen
7、tsthathavelowriskandarehighlyliquid,thefundnotonlyposeslittlerisktothemarket;itposes∗ReprintedfromtheFinancialAnalystsJournal(September/October2000):17–22.273CH019.indd2738/28/108:28:43PM274PartII:MeasuringRisklittlerisktoitsinvestors.Ifitisinveryriskyinstrumentsbutunlevered,sot
8、hatnocreditorsareinvolvedandithasnoriskofforced
