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In early October, we wrote So Much for the ‘Hedge’ Part of Hedge Funds. In that post, we noted that many equity funds were suffering like the rest of us.
A month earlier, way back on 9/11, in Speculators, Hedge Funds and Lehman Brothers, we disagreed with a subtitle from an article in the previous day’s edition of The Wall Street Journal. The subtitle was: Big Cash Balances Signal Bullish Times Ahead.
We wrote, “We’re not so sure. It seems more… Read the rest
Update: December 12, 2008. While none of our analysis or calculations was incorrect, we did have a minor error in the penultimate paragraph. We should of said “first” not “last.” To make amends, here is a multi-period problem, Multi-period Bond Price Implied Default Rates and CDS, but it won’t make sense without reading this one first. We also added a few paragraphs below, which should help explain the multi-period case.
Further update: April 14, 2008. We also have a new, related post on default rates. It is Calculating Counterparty… Read the rest
