Oct. 17 (Bloomberg) -- Harvard Universitys failed bet that interest rates would rise cost the worlds richest school at least $500 million in payments to escape derivatives that backfired.
Harvard paid $497.6 million to investment banks during the fiscal year ended June 30 to get out of $1.1...
Banks can use a few simple principles to educate investors.
By ALVIN LEE | <CITE>From today's Wall Street Journal Asia</CITE>
Hong Kong's legislature recently began an investigation into retail sales of complex credit derivatives linked to Lehman Brothers. Small investors in Hong Kong have...
Harry Markowitz says valuation is the critical step.
In the early 1950s, when young Harry Markowitz was looking for an area of economics to pursue, a chance encounter with a stockbroker in Chicago led him to apply a new logic about risk to what had been an investment industry based on touting...
Event: Lessons from the Subprime Market:
Implosion and its Consequences
Date: November 10, 2008
Time: 5:30 Registration, 6:00 Program Begins, 7:30 Reception
300 Madison Avenue (at 42nd Street)
The International Association of Financial...
Derivatives and Mass Financial Destruction
Complex financial products can be useful if regulated
Proposals for a makeover of the financial system include reform of the credit derivatives market, which offers over $50 trillion of default insurance coverage. Do investors need that much...
By David Mildenberg
Oct. 21 (Bloomberg) -- Bank of America Corp., the largest U.S. consumer bank, lost money on credit cards for the first time since its January 2006 purchase of MBNA Corp. as more borrowers missed...
The IAFE Education Committee and the Fischer Black Memorial Foundation are pleased to invite you to
How I Became a Quant: Boston
Thursday, October 30, 2008
5:30 Registration, 6:00 Program, 7:30 Reception
Massachusetts Institute of Technology
Building 4, 77 Massachusetts Avenue...
The International Association of Financial Engineers is pleased to invite you to
Hedging Illiquid Assets
A Liquidity Risk Committee Event
Tuesday, October 21st
32 Old Slip
6:00 Program Begins
Peter Rappaport, JP Morgan...
The Panic of 2008 is a crisis of trust. Investors don't trust the value of bad debts enough to offer market-clearing prices. Banks don't trust one another to stay in business long enough to do business together. And there's definitely no trust that Washington can avoid creating costly new moral...
Lehman Credit-Swap Auction Sets Payout of 91.38 Cents on Dollar
By Shannon D. Harrington and Neil Unmack
Oct. 10 (Bloomberg) -- Sellers of credit-default protection on bankrupt Lehman Brothers Holdings Inc. will have to pay holders 91.375 cents on the dollar, setting up the biggest-ever...
Oct. 9 (Bloomberg) -- Danilo Coronacion oversees 15 percent of global coconut oil production at CIIF Oil Mills Group in the Philippines. These days, he spends a lot of time worrying about events half a world away in London. The name of his pain? Libor.
CIIF has more than $60 million of debt...
By Jody Shenn
Oct. 7 (Bloomberg) -- Increases in benchmark London interbank offered rates may boost homeowner defaults on resetting adjustable-rate mortgages, contributing to a ``vicious cycle''
in the credit...
By Michael Tsang
Oct. 2 (Bloomberg) -- One of the stock market's latest villains is a 32-year-old self-described ``math geek'' from a Minneapolis suburb who won't move to Wall Street unless they let him wear flip-flops.
Matthew Paschke, who manages the $165 million Grizzly Short Fund at the...
Fannie Mae Eases Credit To Aid Mortgage Lending - New York Times
September 30, 1999
By STEVEN A. HOLMES
In a move that could help increase home ownership rates among minorities and low-income consumers, the Fannie Mae Corporation is easing the credit requirements on loans that it will...
Nov 6, 2008 Credit Crisis: Actions Taken and Lessons Learned
Stephen Figlewski (Stern School of Business), Gregory Hopper (Goldman Sachs), and Petter Kolm (Courant Institute, NYU) will discuss ramifications of the latest developments on Wall Street.
What would happen if we changed the rules? Let's find out.
By HOLMAN W. JENKINS, JR.
The Paulson plan's defeat on Monday was not the end of the world, and may not even be lasting. But it does invite us to revisit the sideshow of mark-to-market accounting.
Even as this agnostic...
You wouldn't know it from all the panicky headlines but the current turmoil on Wall Street is not the world's first financial crisis. Latin America has suffered more than a few, and many were on a larger scale relative to the economies they hit.
One was triggered by Chile's 1982 economic...
Sept. 29 (Bloomberg) -- At 11:50 p.m. on Sept. 25, less than three hours after JPMorgan Chase & Co. Chief Executive Officer Jamie Dimon announced the takeover of Washington Mutual Inc., a 14-seat plane took off from White Plains, New York, carrying retail-banking chief Charles Scharf on a...
Searching for some background info to get a better handle on Credit Card structures and the size of that portfolio, I came across this Fitch document from 1998.
It appears to be a hybrid between research and marketing, an "infomercial," if you will, for credit card structures.
By Erik Holm
Sept. 24 (Bloomberg) -- Billionaire Warren Buffett, calling turmoil in the markets an ``economic Pearl Harbor,'' said his $5 billion investment in Goldman Sachs Group Inc. is an endorsement of the Treasury's $700 billion bank rescue plan.
``I am betting on the Congress doing...
By Craig Torres and Kathleen Hays
Sept. 23 (Bloomberg) -- Federal Reserve Chairman Ben S. Bernanke signaled that the government should buy devalued assets at above-market values to make its proposed $700 billion rescue package most effective in combating the financial crisis.
Couldn't cut and paste.
This isn't new news, of course. But as I'm trying to get my head around the size of the these ABS portfolios, I come across things like this.
If anyone has any clue how big the...
Let's talk a little bit more about the VIX.
In the last post, when the VIX was at 36 or so, I said it wasn't high enough and indicated more shock was to come to equities.
Today, once more, the market eventually gave up and began its third major selloff of this week. Sure enough, the VIX...
Coming Soon ... Securitization with a New, Improved (and Perhaps Safer) Face ...
For generations, the strength of the U.S. housing market was due, in part, to securitization of mortgages with guarantees from the government-sponsored companies, Fannie Mae and Freddie Mac. Following the savings...
Coalition of Private Investment Companies
FOR IMMEDIATE RELEASE September 17, 2008
CPIC: SEC SHORT SELLING RULES
"TOUGH AND BALANCED"
Group Says Commission Understands Role of Short Selling
in Improving Markets for Investors
WASHINGTON, D.C., September 17...
By Aline van Duyn and Michael Mackenzie in New York
Published: September 14 2008 20:26 | Last updated: September 15 2008 00:56
Wall Street dealers held an unprecedented emergency trading session on Sunday afternoon in a frantic effort to prepare for the possible bankruptcy of Lehman Brothers...
Long-Term Capital: It’s a Short-Term Memory
By ROGER LOWENSTEIN
A FINANCIAL firm borrows billions of dollars to make big bets on esoteric securities. Markets turn and the bets go sour. Overnight, the firm loses most of its money, and Wall Street suddenly shuns it. Fearing that its collapse...
Fannie, Freddie Credit-Default Swaps May Be Unwound (Update2)
By Oliver Biggadike and Laura Cochrane
Sept. 8 (Bloomberg) -- Investors may be forced to unwind contracts protecting $1.47 trillion of Fannie Mae and Freddie Mac bonds against default after the U.S. government seized control of...
This is an unofficial thread.
Class notes from Linear Algebra with Matrix Methods, Fall 2008, will be posted here.
The instructor is Alfred Friedland; the class meets M/W 6-715pm.
All students are encouraged to review the notes and comment in the event of errors and omissions.
The notes are in...
(9848 professors called it).
Citigroup Posts Loss on Credit-Card Securitizations (Update1)
By Bradley Keoun
Aug. 4 (Bloomberg) -- Citigroup Inc. reported its first loss since at least 2005 on credit-card securitizations, signaling that risks may be growing in a business that generated...
Toxic CDOs Given Up for Dead Coming to Life With Pension Funds
By Jody Shenn
July 8 (Bloomberg) -- CDOs are back.
Collateralized debt obligations that helped drive banks to $400 billion of writedowns and credit losses are finding buyers under a different name: Re-Remics.
Moody's Says Some Employees Breached Code of Conduct (Update1)
By Emma Moody [?]
July 1 (Bloomberg) -- Moody's Corp. , owner of the second- largest credit-ratings company, ousted the head of its structured finance unit and said employees violated internal rules in assigning Aaa ratings to...
Welcome to Quant Congress USA 2008
Quant Congress USA will showcase the latest innovations in derivatives and risk management. This is the leading event for serious quantitative professionals who attend and find invaluable insight into quantitative strategies...
A Tough Saddle to Mount
ISDA's Chairman, Eraj Shirvani, talks to Alexander Campbell of Risk Magazine
Eraj Shirvani has his work cut out. Having succeeded Jonathan Moulds as chairman of the International Swaps and Derivatives Association in April, Shirvani takes up the reins in the midst of...
Better late than never?
Why Isn't New York a Capital of Innovation: How Can It Become One?
<DIV class=margintop>Speakers: Irving Wladawsky-Berger, IBM & MIT; Jerry MacArthur Hultin, Polytechnic University; James H. Singer, A.T. Kearney
Moderator: Garrick Utley, The Levin Institute
Hedge Funds in Swaps Face Peril With Rising Junk Bond Defaults
By David Evans
May 20 (Bloomberg) -- It's Friday, March 14, and hedge fund adviser Tim Backshall is trying to stave off panic. Backshall sits in the Walnut Creek, California, office of his firm, Credit Derivatives Research LLC...
Ford Motor to Sell $5.3 Billion of Auto Loan Bonds (Update1)
By Sarah Mulholland
May 15 (Bloomberg) -- Ford Motor Co.'s finance unit plans to sell $5.3 billion of auto-loan bonds, the automaker's biggest sale in more than six years, as investor demand returns for asset-backed securities...
This isn't free or even cheap, but if anyone's interested, a group rate might be possible.
I'm not flogging it, just passing it along.
Structured Credit Training
2008 SCI Training courses
- in association with Reoch...
At Monday's "Valuation in Crisis" event, Charles Smithson recommended the UBS Shareholder's report for a discussion of the structured credit valuation issues affecting the firm.
It's 50 pages and I...
By Jody Shenn and Sarah Mulholland
May 14 (Bloomberg) -- Securities firms are creating new ABX derivative contracts that will help expand the types of AAA rated subprime-mortgage debt that investors can bet on.
The ABX contracts trading for the first time today are tied to...
By John Glover
May 14 (Bloomberg) -- Moody's Investors Service plans to add new grades for collateralized debt obligations to show their ``sensitivity'' to market declines after the securities contributed to $335 billion of bank losses and writedowns.
Ratings of CDOs, which pool...
Open for business
Fitch releases refined CDO methodology
Fitch has released its much-anticipated revised criteria for rating corporate CDOs (see SCI issues 74 and 82), which now addresses concentration risk and the issue of adverse selection. The move follows a six-month review and sees the...
Carlyle, Deutsche Bank Seek to Raise $500 Million CLO (Update1)
By Pierre Paulden
April 21 (Bloomberg) -- Carlyle Group, the world's second largest private-equity firm, is raising a $500 million collateralized loan obligation to buy high-risk, high-yield debt being sold by banks at...
Endorsed by International Association of Financial Engineers.
Speakers: James Grant, Editor, Grant's Interest Rate Observer; Brian T. Hayes, Lehman Brothers Alternative Investment Management; Kenneth Posner, Morgan Stanley
Moderator: Emanuel Derman; Columbia University
[sorry, that should be "Frankenstein's."]
Swaps Tied to Losses Became `Frankenstein's Monster' (Update1)
By Neil Unmack and Sarah Mulholland
April 15 (Bloomberg) -- The credit-default swap market has become a lesson in being careful what you wish for now that Wall Street has taken $245...
By ETHAN PENNER
March 25, 2008; Page A23
It's been nearly 15 years since the beginning of the recovery from the last major credit-induced bear market. Like the early 1990s, it is time to re-evaluate and introduce some modifications. But it is certainly not the time to overreact and undermine...
Our Uncertain Economy
By EDMUND S. PHELPS
March 14, 2008; Page A19
In recent times, most economists have pretended that the economy is essentially predictable and understandable. Economic decision- and policy-making in the private and public sectors, the thinking goes, can be reduced to a...
Because they solve problems. Here's one example:
[from wsj online]
Ethiopia Taps Grain Exchange
In Its Battle on Hunger
By ROGER THUROW
February 27, 2008; Page A1
MOJO, Ethiopia -- This country has some of Africa's most fertile land, with fields of wheat and corn stretching to the...
Demand for Quants Heats Up on Wall Street But Recruitment is Hard
As trading becomes more mathematical and firms look to revamp their risk management systems, the demand for quantitative skill sets is never ending.
By Ivy Schmerken
Wall Street & Technology
November 26, 2007
This awesome development environment has presented me with some mysteries. Like, for example, why it will save edited code even when I don't want it saved (and therefore haven't pressed the "save" button).
Or why I can't simply open up a code file from somewhere on my machine without ruining...
I found this on Finextra, fwiw.
The quest for alpha
Chris Skinner on developments in cross asset trading and the search for liquidity.
At a recent conference, one of the speakers started by saying: "Alpha is what it is all about." He got this look of interest from half the audience...