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  1. C

    Harvard's Bet on Interest Rate Rise Cost $500 Million to Exit

    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...
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    SQL

    Frequently, SQL is used in trading support roles. Does anyone have any familiarity with how so?
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    'Demystifying' Derivatives

    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...
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    The Father of Portfolio Theory on the Crisis

    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...
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    November 10, 2008 -- Lessons from the Subprime Market:

    Event 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 Location: Pricewaterhouse Coopers 300 Madison Avenue (at 42nd Street) New York The International Association of Financial...
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    Derivatives and Mass Financial Destruction

    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...
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    Bank of America Credit-Card Unit Loses $373 Million on Defaults

    http://www.bloomberg.com/apps/news?pid=20601087&sid=aaCdPylW8B.U&refer=home 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...
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    Wed Oct 29 IAFE's How I Became a Quant: Boston

    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 Hosted by Massachusetts Institute of Technology Building 4, 77 Massachusetts Avenue...
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    Tue, Oct 21: Hedging Illiquid Assets

    The International Association of Financial Engineers is pleased to invite you to Hedging Illiquid Assets A Liquidity Risk Committee Event Tuesday, October 21st Goldman Sachs 32 Old Slip New York 5:30 Registration 6:00 Program Begins 7:30 Reception Presentation By: Peter Rappaport, JP Morgan...
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    The 1% Panic

    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...
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    Lehman Credit-Swap Auction Sets Payout of 91.38 Cents on Dollar

    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...
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    Libor Holds Central Banks Hostage as Credit Freezes

    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...
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    Libor Rise to Boost Subprime ARM Defaults 10%, Citigroup Says

    http://www.bloomberg.com/apps/news?pid=20601087&sid=aFLqcpe0qGRc&refer=home 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...
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    Case-Schiller w/CPI

    A case for mean-reversion.
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    Short-Selling `Math Geek' Not Naked, Covered in Blame (Update1)

    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...
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    Fannie Mae Eases Credit To Aid Mortgage Lending

    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...
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    Nov 6, NYAS: Credit Crisis: Actions Taken and Lessons Learned

    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.
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    Mark to Mayhem?

    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...
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    What We Can Learn From Chile's Financial Crisis

    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...
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    Dimon Gets Morgan's Mantle as Buyer of Final Resort

    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...
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    Innocence Lost

    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. It's good...
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    Buffett Buys Goldman Stake in `Economic Pearl Harbor' (Update1)

    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...
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    Bernanke Signals U.S. Should Pay More for Bad Debt

    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. ``Accounting...
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    Analysts warn of Credit Card ABS Crisis

    http://www.efinancialnews.com/assetmanagement/fundmanagement/content/2451717879 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...
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    Moral Hazard for Dummies

    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...
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    Coming Soon ... Securitization with a New ...

    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...
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    Commentary on Short Selling Restrictions

    Coalition of Private Investment Companies News Release 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...
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    Dealers hold emergency trading session

    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...
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    Long-Term Capital: It's a Short-Term Memory

    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...
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    Fannie, Freddie Credit-Default Swaps May Be Unwound

    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...
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    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    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...
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    credit card defaults

    (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...
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    Toxic CDOs Given Up for Dead Coming to Life With Pension Funds

    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. Goldman Sachs...
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    Moody's Says Some Employees Breached Code of Conduct

    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...
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    Quant Congress USA 2008

    http://www.quantcongressusa.com/ 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...
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    A Tough Saddle to Mount (from June, 2008 Risk Magazine)

    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...
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    Why Isn't New York a Capital of Innovation: How Can It Become One?

    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 Sponsored...
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    Congratulations Jake and Sarah

    on the birth of your son, Samuel.
  39. C

    Hedge Funds in Swaps Face Peril With Rising Junk Bond Defaults

    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...
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    Ford Motor to Sell $5.3 Billion of Auto Loan Bonds

    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...
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    Structured Credit Training

    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...
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    Shareholder Report on UBS's Write-Downs

    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. www.ubs.com/1/ShowMedia/investors/topics?contentId=140333&name=080418ShareholderReport.pdf It's 50 pages and I...
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    Banks Start New ABX to Bet on Subprime Mortgage Debt

    (Update1) 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...
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    Moody's Adds CDO `Sensitivity' Grades After Criticism

    (Update1) 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...
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    Fitch releases refined CDO methodology

    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...
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    Structured is dead. Long live Structured!

    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...
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    Quantitative Finance: Market Crisis

    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 details here...
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    "Frankenstien's Monster"

    [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...
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    Of Markets and Mortgages

    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...
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    FmPL

    Is this protocol worth learning at this point, or will you pick it up along the way, like you did HTML? Oh, I meant to type FpML, for Financial Products Markup Language.
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    You Can't Model Animal Spirits

    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...
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    Why Markets?

    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...
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    Demand for Quants...

    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 CHALLENGE: The...
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    MS VS IDE mysteries

    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...
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    The Quest of Alpha

    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...
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