Explanation:

In the Long-Term Capital Management (LTCM) case, the model risks were primarily related to:

• III. Ignoring autocorrelation of economic shocks: LTCM's models assumed normal market conditions and failed to account for the persistence of economic shocks
• IV. Underestimating correlations among asset classes during economic crises: During the 1998 Russian debt crisis, correlations between supposedly uncorrelated assets converged toward 1, which LTCM's models didn't anticipate

Why other options are incorrect:

• I. Poor management oversight: This is an operational risk issue, not specifically a model risk
• II. Financial reporting standards: This relates to accounting/regulatory issues, not model risk

LTCM's sophisticated models failed because they didn't adequately account for extreme market conditions and correlation breakdowns during crises.