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Richard M. Bookstaber

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A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation ハードカバー – 2007/4/6

英語版 Richard M. Bookstaber (著)

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Inside markets, innovation, and risk

Why do markets keep crashing and why are financial crises greater than ever before? As the risk manager to some of the leading firms on Wall Streetfrom Morgan Stanley to Salomon and Citigroupand a member of some of the worlds largest hedge funds, from Moore Capital to Ziff Brothers and FrontPoint Partners, Rick Bookstaber has seen the ghost inside the machine and vividly shows us a world that is even riskier than we think. The very things done to make markets safer, have, in fact, created a world that is far more dangerous. From the 1987 crash to Citigroup closing the Salomon Arb unit, from staggering losses at UBS to the demise of Long-Term Capital Management, Bookstaber gives readers a front row seat to the management decisions made by some of the most powerful financial figures in the world that led to catastrophe, and describes the impact of his own activities on markets and market crashes. Much of the innovation of the last 30 years has wreaked havoc on the markets and cost trillions of dollars. A Demon of Our Own Design tells the story of mans attempt to manage market risk and what it has wrought. In the process of showing what we have done, Bookstaber shines a light on what the future holds for a world where capital and power have moved from Wall Street institutions to elite and highly leveraged hedge funds.

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本の長さ

276ページ
言語

英語
出版社

John Wiley & Sons Inc
発売日

2007/4/6
寸法

15.88 x 3.18 x 23.5 cm
ISBN-10

0471227277
ISBN-13

978-0471227274
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"He understands the inner workings of financial markets...A liberal sparkling of juicy stories from the trading floor... (The Economist, April 21st 2007) "...smart book...Part memoir, part market forensics, the book gives an insider's view..." (Bloomberg News, 30th April 2007) "...shines a light on what the future holds for a world where capital and power have moved from Wall Street". (Actuary, June 2007) "The book covers a lot about risk management that is relevant to capital markets conditions today and the liquidity crisis." (Financial Times, Saturday 25th August) "...an insider's guide to markets, hedge funds and the perils of financial innovation. We saw plenty of those in 2007." (The Sunday Telegraph, Sunday 25th November 2007) "Richard Bookstaber's fine book on modern financial innovation". Financial Times Wednesday 17 June 2008 "...a unique perspective" (PEF, Volume 7/3, November 2008)

著者について

Richard Bookstaber runs an equity hedge fund in Greenwich, Connecticut. He was the director of risk management at Ziff Brothers Investments and at Moore Capital Management, one of the largest hedge funds in the world. He served as the managing director in charge of firm-wide risk management at Salomon Brothers and was a member of Salomon's powerful Risk Management Committee. Mr. Bookstaber also spent ten years at Morgan Stanley in quantitative research and as a proprietary trader, concluding his tenure there as Morgan Stanley's first market risk manager. He is the author of three books and scores of articles on finance topics ranging from options theory to risk management. Bookstaber received a Ph.D. in economics from MIT.

登録情報

出版社 ‏ : ‎ John Wiley & Sons Inc (2007/4/6)
発売日 ‏ : ‎ 2007/4/6
言語 ‏ : ‎ 英語
ハードカバー ‏ : ‎ 276ページ
ISBN-10 ‏ : ‎ 0471227277
ISBN-13 ‏ : ‎ 978-0471227274
寸法 ‏ : ‎ 15.88 x 3.18 x 23.5 cm

Amazon 売れ筋ランキング: - 310,217位洋書 (洋書の売れ筋ランキングを見る)
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- - 1,460位Professional & Technical Finance
- - 1,470位Business & Investing Finance

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Richard M. Bookstaber

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recluse

限りなくpessimistic

2007年5月12日に日本でレビュー済み

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どういうタイミングなんでしょうか、black swanに続く、市場関係者による警告の作品です。この作品には２つの焦点があります。ひとつは著者による金融市場の危機の分析です。題材として取り上げられるのは、著者が経験したblack mondayとsalomon brothersでの経験です。著者はこの経験を通して、現在のリスク管理モデルが抱える内在的な欠陥を指摘します。それは市場の流動性へのナイーヴな信仰とプレーヤーの個別には”合理的”な行動がもたらすことになる全体的な非合理性です。それぞれの危機の現場にいた著者によるこれらの状況の同時代的な描写と事後的な分析は類書には見られないものです。というよりも今明らかにされる当時の実情は恐ろしくなるほどです。これらの経験をベースに後半はどちらかというと哲学的なリスク管理の議論が展開されることになります。著者はこの世界でのいくつもの常識とされる前提への疑問を提示していきます。著者は、更なる精緻な管理手法の強化、情報の更なる開示が危機回避にもたらす効果には懐疑的です。著者は流動性こそが市場の鍵であることを強調し、そしてこの流動性の維持ほど市場参加者の微妙なバランスに依存するものは、ほかにはない点を強調します。著者が最後にたどり着いた結論は、”simpler financial instruments and less leverage"です。著者は、この提言が現在の金融市場の傾向と矛盾することは十分認識した上で、ある意味では自己否定とも思える結論にたどり着いているわけです。

13人のお客様がこれが役に立ったと考えています

役に立った

Yosuke's Dad from Tokyo

経験に基づくことばの重み

2008年1月17日に日本でレビュー済み

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コンピュータを駆使した金融技術・リスク管理手法の発達と、取引の速度の増加、密接な接続（ある取引は別の取引を引き起こすなど）といった現代の金融市場の特徴自体がバブルの生成と崩壊を引き起こしやすくなったと主張しているように思える。書名の Demon of Our Own Design とは、「我々が自ら作ってしまった悪霊」という意味だが、「市場の発展と金融技術の革新が市場を不安定にする要因になっている」というブックステーバー氏の経験に基づく見解を凝縮したことばのように思える。
ブックステーバー氏は、ソロモン・ブラザーズのリスク管理責任者としてブラックマンデー（1987年10月19日の株価の大暴落）を経験し、その後、モルガン・スタンレーで同じ仕事をし、ロシア経済危機（1998年8月のロシア国債デフォルト、それをひとつの契機とするヘッジファンドLTCMの破綻）を経験、そして、ヘッジファンド大手ムーア・キャピタルのリスク管理責任者を歴任しきた。いくつもの金融危機を大手金融機関やヘッジファンドのリスク管理責任者の立場で観察し続けてきた経験に基づく氏のことばには重みがある。

6人のお客様がこれが役に立ったと考えています

役に立った

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Fabio Santi

Really interesting

2020年8月15日にイタリアでレビュー済み

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A must read for risk managers, and for any bank executive. It very well explains how the complexity created by an additional layer of controls can actually make a system less safe than it used to be.

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Kunal Desai

Three Stars

2015年3月5日にカナダでレビュー済み

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More technical and for the advanced reader

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Abacus

Great book just released before the financial crisis

2012年11月17日にアメリカ合衆国でレビュー済み

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Reading this book five years after its release, one has to admire how prescient the author was. He gives you a brilliant insider account of all the ways our financial system has faltered and will falter. Less than a year after the book release the financial system crashed for reasons detailed in the book including leverage, liquidity, regulatory, and complexity issues. This book is superior to Taleb's just released Antifragile: Things That Gain from Disorder that covers the same subject.

The author explains numerous financial crises that occurred since the early eighties in technical details. However, on pg. 241, he synthesizes his analysis in just a few concise sentences. The 1987 crash was a vicious downward spiral caused by hedging actions (selling futures short associated with portfolio insurance) that reinforced the decline in stock values causing further hedging actions. The LTCM meltdown was caused by the forced asset sales at liquidation price triggered by creditors that resulted in further asset price decline. The dot.com bubble was due to the majority of traders being on the buy side of a very limited supply of hi-tech stocks that created a feedback loop of self-fulfilling prophecy. When dot.com IPOs met and exceeded investor demand, the market collapsed. In other parts of the book, he spends tens of pages on each of those crises. But, in a nutshell that is pretty much what they were about.

The key explanatory chapter is chapter 8 titled "Complexity, Tight Coupling, and Normal Accidents." Here the author explains how systems that are complex with many interconnected variables with unpredictable, nonlinear effects, that in turn are associated with tight coupling (denotes a chain-like reaction without much time to react or adapt to the consequence) are recipes for disasters. Those are called "normal accidents" meaning they are to be expected; but, you can't expect what they will be. So, you can't prevent them. "The more complex and tightly coupled the system, the greater the frequency of normal accidents." The author depicts numerous failures of complex systems with various levels of tight coupling including nuclear plants disasters (Three Mile Island, Chernobyl) and aerospace disasters (Challenger and Columbia missions that both killed seven crew members).

Financial derivatives make for perfect complex systems with tight coupling. They have numerous unpredictable nonlinear outcomes, high leverage, and lightning quick trading. Those characteristics make for what Warren Buffet called "financial weapons of mass destruction."

Adding to the vulnerability of financial complex systems is the "Butterfly Effect" (reference to Chaos theory). As financial models make even fractionally small errors, those tiny errors over multiple iterations compound and generate huge intractable outcome errors.

Another cause of complex vulnerability is scale. The business world has focused on economies of scale to extract a cost competitive edge. But, beyond a certain point scale does not contribute to economies but instead to complexities. In chapter 7 titled "Colossus" Bookstaber describes the forming of a financial conglomerate monster: Citigroup. He headed a market risk management group at Salomon that got acquired by Citi. And, he describes how the risk management function became unmanageable. Externally, tracking risk exposures globally in so many instruments, businesses, and geographies became impossible. Internally, the change in corporate scale expanded his risk management group to a dysfunctionally large level.

Bookstaber indicates that regulations does not work in reducing the risk within financial complex systems. By forcing banks to reduce existing risk exposures, they are forced to sell assets. Those forced sales cause asset values to drop further forcing further asset sales. This relates to Fisher's The Debt-Deflation Theory of Great Depressions . "Trying to control the risk ends up creating a liquidity crisis."

Forcing hedge funds towards increasing transparency is a self-defeating proposition. Hedge funds competitive edge are proprietary strategies. If their accounts become transparent, they pretty much go out of business.

Bookstaber makes an interesting connection between Heisenberg's Uncertainty Principle and finance (pg. 223). In the quantum world, you can't improve the measurement of an electron's speed without impairing the measurement of its location. In the finance world, you can't increase transparency without decreasing liquidity. As mentioned, transparency would impair the hedge fund sector. And, the latter is the major liquidity provider for illiquid assets. Without hedge funds many such markets would not be viable.

If upcoming regulatory constraints do not impair the hedge fund sector, Bookstaber anticipates it could become a dominant force within the institutional investment world. His take is that if you take two equally brilliant investors, and the first one is limited to "long" strategies only and the other one is not and can avail himself to all sorts of other investment strategies, the latter one should prevail. And, that describes the difference between a traditional mutual fund and a hedge fund.

However, that is one instance where I may question Bookstaber's opinion. The hedge fund has to deliver gross returns that are so much higher than the mutual fund because it charges so much more (1% operating expense and 20% of profits vs only the 1% for the regular mutual fund). Bookstaber suggests the hedge fund compensates for that because of the inherent leverage in hedge fund strategies. But, by doing so a hedge fund takes on risk that renders it much more fragile than a regular fund. Earlier, Bookstaber states that many hedge funds "win a little, win a little, than lose a lot." Thus, hedge funds blow ups are more frequent than mutual fund ones. Additionally, there is already too much money in hedge funds to chase too few market inefficiencies. This ultimately makes a case for neither hedge funds or regular mutual funds but index funds instead.

Bookstaber addresses the Efficient Market Hypothesis (EMH) in a most interesting way. He understands the subject better than most as he wrote his economics PhD thesis on the transmission of information through the markets. Bookstaber states that stock prices are driven by two components: one is information, and the other is liquidity factors. The EMH covers only partly the information component. That's because it makes some liberal assumptions such as that traders are perfectly rational, and that their actions do not affect the markets. But, the EMH does not cover the liquidity factors. Those include the actual float or supply of each stocks, transaction costs, and leverage constraints. And, often liquidity factors are the predominant drivers of investment prices. Bookstaber states on pg 213 "[liquidity] is the primary driver of crashes and bubbles as well." This makes sense. The information component is disseminated instantly and should be fully reflected in stock prices at all times (the EMH take). But, liquidity factors can get markets out of whack. As Bookstaber explained, the dot.com bubble was mainly fueled by a very small float (short supply) of hi-tech stock at the onset.

Bookstaber describes interesting statistical arbitrage strategies (paired stock trading) devised to differentiate between the information component of a stock price, that typically does not mean revert in the short term, vs the liquidity component that does. He indicates that this is easier said than done. As usual, the early traders who devised those strategies made a lot of money. But, the market is a rapidly learning machine and those Alpha returns were pretty much arbitraged out a long time ago. So, that's the puzzling thing about the EMH. The theory is far from perfect. Yet the markets are brutally efficient. Alpha returns depend on traders coming out with new investment strategies until they are replicated. At such point, they are forced to uncover Alpha returns some place else. So, efficiency is a moving target.

In the conclusion, Bookstaber makes recommendations on how to reduce the fragility of our financial system. We should reduce the tight coupling within the system. He proposes to do that by reducing leverage which in turn reduces liquidity and the speed of market activity (tight coupling). He also recommends selective evaluation of financial innovations to prevent dangerous complexities. Insiders will not like Bookstaber's recommendations and will argue that financial innovation has greatly improved wealth creation worldwide. But, you have to distinguish between benign vs complex financial innovations. It is easy to argue in favor of ATMs, debit cards, new mobile payment mechanisms, and online banking innovations. But, did we benefit from MBS, CDOs, and SIVs? Certainly not lately!

12人のお客様がこれが役に立ったと考えています

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CorMag

Lesenswerte Alternative zur populären "FinanzCrash leicht erklärt...ich habs schon immer gewußt"

2009年3月19日にドイツでレビュー済み

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Endlich mal ein Buch das IMHO Einblick gewährt in die Geschichte, Handlungs- und Wirkungsweise der Hedge Fund Industrie....und mal von einem der es wissen muss!!

Richard Bookstabber, gelernter Mathematiker und MIT Ökonom, verfügt über 25 Jahre Erfahrung in der Industrie, hat mit den "ganz großen" im Geschäft gearbeitet und war auch selbständig (mit seinen Söhnen) an den Märktem aktiv....und geht mit sich selbst und seinem "Wirken und Schaffen" durchaus hart ins Gericht. Es ist bestimmt selbst für einen Experten bestimmt nicht leicht seine Erfahrungen, Ideen, Theorien didaktisch sinnvoll und auch für Normalsterbliche einigermaßen nachvollziehbar aufzubereiten....aber ich denke Bookstabber ist es gelungen. Für "Neulinge" in der Thematik ist das Buch bestimmt nicht gänzlich ohne Anstrengung zu verstehen...aber wer hat gesagt, daß Wissenserwerb schmerzfrei ist:).
Die Frage die er in den ersten Kapiteln stellt ist interessant. "Realwirtschaftlich" gesehen ist die Welt so stabil wie NIE ZUVOR IN DER GESCHICHTE DER MENSCHHEIT! Ein offener Welthandel, moderne Technologie, politische Stabilität sorgen für Planungssicherheit und erhöte Diversifikation ( na zumindest für uns Europäer und die USA). Aber warum wird diese erhöte Stabilität nicht an den Kapitalmärkten widergespiegelt? Bookstabber liefert ein ziemlich einleuchtenden Erklärungsansatz......und das "alternative Investment" Gschäft spielt da eine entscheidende Rolle...ganz ohne amerikanische, russische oder chinesische Verschwörungstheorien....ohne Böse Saudis und Strippenzieher im Hintergrund mit dem Masterplan...mit Teilnehmern und Verursachern die im schlimmsten Fall habgierig und ignorant sind, aber nicht betrügerisch,kriminell oder machtbesessen...ein ganz einleuchtender aber selbstzerstörerischer Prozess...
Fazit: nicht immer einfach, aber denoch unterhaltsam...

Warnung: Das Buch will keine "Hilfe" für Kleinanleger sein, wie die Bücher von Max Otte oder Dirk Müller....ergo keine "Tipps" ( un bessä is das....finde ich)

5人のお客様がこれが役に立ったと考えています

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James-philip Harries

fascinating and timely

2009年1月15日に英国でレビュー済み

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If this book had been titled "Memoirs of a Risk Manager" it would only have sold a copy to the author's mum. Happily, it has a snappier title, so there'll be no excuse for market supervisors to ignore its lessons. Don't be put off by the technicalities in the early chapters; if your eyes glaze over at "inflexion points of the long / short bond option" (or whatever) just keep going. You will be rewarded.

We generally think of risk managers as "Don't do that, Maud" types. In fact the reverse is true. Far from preventing the firm from betting the farm, the risk managers job is to help to bet the farm, but only on a sure thing. Hence the development of risk strategies which allow firms to profit from market imperfections.

Bookstaber gives a history of these strategies, enlivened often by amusing anecdotes and a dry wit. Some of them (statistical arbitrage, for example) appear to have been invented almost by accident. All of them lose their edge over time and become just another part of the market with very low returns for the risk. Most users of these risk strategies provide liquidity to the market, which Bookstaber shows is necessary and (less convincingly) under-rewarded.

By this analysis the financial markets were almost programmed to blow up. Recessions and depressions come always from the financial markets to the real economy, not the other way round as Galbraith alleged.

Now that the crisis is upon us, what does Bookstaber recommend? If he had a good plan I'd elect him world president right away, but this is unsurprisingly the weakest part of the book. But he's good on what won't help. More regulations? Useless, because they'll only control the obvious. Ban short trading / hedge funds? Likewise. Better risk management? Of limited use, because some risk is unpredictable and so unmeasurable. He recommends eschewing the more exotic derivatives. No doubt they are already untradeable (and so worthless) but if someone wants to buy one you can be sure that Wall St will find a way to sell it. Less leverage? Well, we've already got that with a vengeance, without any new legislation.

I repeat: this is a terrific book, buy it. The author should be congratulated for not mentioning Faust or Prometheus once in 260 pages.

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A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation ハードカバー – 2007/4/6

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Richard M. Bookstaber

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