Page 2. Daniel HERLEMONT. Daniel HERLEMONT. Public Funds. ($ million). Orange County. 1,640. San Diego. 357. West Virginia. 279. Florida State Treasury.
Lessons from Financial Disasters Following P. Jorion, Value at Risk, McGraw-Hill Chapter 2
Daniel HERLEMONT
Daniel HERLEMONT
Page 1 1
Daniel HERLEMONT
Public Funds
($ million) Orange County
1,640
San Diego
357
West Virginia
279
Florida State Treasury
200
Cuyahoga County
137
Texas State
55
Daniel HERLEMONT
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Barings
February 26, 1995 233 year old bank 28 year old Nick Leeson $1,300,000,000 loss bought by ING for $1.5
Daniel HERLEMONT
Metallgesellshaft
14th largest industrial group 58,000 employees offered long term oil contracts hedge by long-term forward contracts short term contracts were used (rolling hedge) 1993 price fell from $20 to $15 $1B margin call in cash
Daniel HERLEMONT
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Orange County
Bob Citron, the county treasures $7.5B portfolio (schools, cities) borrowed $12.5B, invested in 5yr. notes interest rates increased reported at cost - big mistake! realized loss of $1.64B
Daniel HERLEMONT
Daiwa
12-th largest bank in Japan September 1995 Hidden loss of $1.1B accumulated over 11 years Toshihide Igushi, trader in New York Had control of front and back offices In 92 and 93 FED warned Daiwa about bad management structure. Daniel HERLEMONT
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