Vanilla options TARF and participating forwards. A case study. There are some common questions that repeatedly get posed in my treasury products class about the variations available within exotic derivative instruments. Are these exotic contracts really needed? Who really benefits from selling these exotic products?
Synthetic CDO – The Goldman Mike Burry Big Short Trade Before the 2008 financial crisis the incentive for investors to buy mortgage backed securities was simple. For roughly the same implied credit risk as US sovereign risk you had the option to earn excess returns.
Understanding CMO, CDO and CDS The third part of the Big Short Case Study that traces the origin of the mortgaged backed CMO CDO CDS product sets referenced in the book and the film. The terms stand for Collateralize Mortgage Obligation (CMO), Collateralize Debt Obligation (CDO) and
The community wins at the Nestio Startup Weekend, Karachi. If you need to feel the buzz in Karachi, the Nestio is a good bet to get an instant triple shot of positive vibe, optimism and hope. On any given evening the community tends to be
Big Short Takeaways for investors and traders – II Part two of our three part series on The Big Short Case Study for value investors and fixed income traders. In our first post we reviewed the context of the book, characters and the Credit Default Swap
The Big Short case study. For value investors and portfolio managers. For portfolio management and fixed income students the 2008 – 2009 financial crisis represents a terrific learning opportunity. As I teach portfolio management to Executive MBA students I have started to use a class room
Higher moment Portfolio models. Skewness preference. So far in the portfolio optimization course our focus has been on single dimension analytics. With both risk and performance we have only looked at one metric at a time. While our Solver models have worked with multiple constraints,
Debunking Finance data science myths. An actuary and a computer scientist debunk popular finance data science myths. When I first started working with models, the phenomenon that fascinated me the most was changes in stock market prices. This was in an era where great fortunes
Slower than the Flash. Bigger than a duck. The last twelve months have been a big mix of surprises and personal milestones. I have managed to live a year with reduced working hours, limiting office to just the first half of the day. I lost
Four minutes On the outskirts of Tehran, about an hour’s drive away from the city center is a hotel that once dreamt of hosting Olympic athletes from across the world. Hotel Olympic is part of the Azadi Sport Complex, the largest sports facility in Iran.