Thursday, February 22, 2007

of bonds and raiders

After securitizing David Bowie's music and cat bonds, I guess there was a dearth of assets for securitization. Behold the new "death" bonds (as an aside, reminds me of death metal which I unwittingly subjected myself to some distant time ago - the effects are for everyone to see..). Bottomline: Insurance-linked securities are here to stay..

We just had an announcement about our commencement speaker - it would be Aaron Brown. I dont think I have read his book - but I guess it would be on my to do list as I take a break after MFE for 2 months. cool website name - eRaider!!

Aaron Brown is an executive director in risk methodology at Morgan Stanley. He is the author of The Poker Face of Wall Street (Wiley 2006) on the interaction of gambling and finance, which was listed among the ten best books of 2006 by Business Week. His corporate governance website, was named Best of the Web in Theory and Practice of Investing by Forbes. In his 25 year career he has worked as a trader, portfolio manager, head of mortgage securities, risk manager and finance professor. He holds degrees in Applied Mathematics from Harvard University and Finance from the University of Chicago. He serves on the editorial board of the Global Association of Risk Professionals, writes a regular column for Wilmott, is a member of the National Book Critics Circle and speak and writes frequently on quantitative finance and risk management.

Wednesday, February 21, 2007

weeks 48-49...

The countdown to week 52 has begun...

well, before that I need to turn in my finance project and ABS project (pricing a CMBS deal). These are going to take up my next 2 weeks!!

This weekend, spent some time learning about the hjm model - the non-math primer is here. For more implementation issues - the excerpt from Wilmott's book is quite valuable.

Saturday, February 10, 2007

weeks 46-47!!

This quarter can be summarized into one word - ABS !!
Each ABS hw is like a mini-project. In the last hw, we had to fit a term structure model, fit two prepayment models, and then price tranches of CMOs based on 2 mortgage pool cash flows, as well as calculate duration, convexity and OAS measures!! This is basically recreating the MBS models on the street (well, maybe not at that level - but close).

This week there were also these talks of mergers between exchanges - Read an interesting story on this. I hope this excerpt proves to be correct:
Years from now, this decade might come to be viewed as the golden age of high finance. New markets are sprouting up everywhere, drawing huge amounts of capital and helping hold down rates.