August 2007 – October 2007: Goldman Sachs asks AIG to post additional collateral in view of the falling market value of CDO assets. The insurer posted around $2 billion in collateral up to end-October 2007. November 2007: AIG reports $352 million in unrealized losses on
AIG Financial Productions Corporation (AIG FP) a subsidiary of AIG issued and traded credit default swaps. These non-traditional insurance instruments insured the counterparty in the event of default on collateralized debt obligation payments. The company believed that the risk was very small because they primarily
February 2007: Lehman share price reaches all-time high of $86. 13th March 2007: Stock market suffers largest one-day drop in 5 years on reports that Lehman’s profitability would be significantly impacted because of rising subprime mortgage delinquencies. 14th March 2007: Lehman reports record revenues and
Between 2003 and 2004 Lehman Brothers acquired five mortgage lenders including the subprime originator BNC Mortgage LLC and Alt- A mortgage originator Aurora Loan Services. During the house price bubble these acquisitions contributed to Lehman achieving record revenues and becoming the fastest growing investment bank
Roger Lowenstein’s book “The End of Wall Street” is a font of information regarding the recent financial crisis. Beautifully written in clear and simple language, it explores the environment that created the house price bubble and the impact on the mortgage market particularly with regard to subprime and Alt –A mortgages.
Copulas are functions that link univariate marginal distributions to a multivariate distribution.
The Quant Crash Course is a 200 minute series of 4 videos that cover the basics of quant and computational finance. The course material and series has evolved over the last 8 years as part of the training practice run by Jawwad Farid in the areas of derivative pricing and risk management.