SI
SI
discoversearch

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor.  We ask that you disable ad blocking while on Silicon Investor in the best interests of our community.  If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.
Gold/Mining/Energy : Precious and Base Metal Investing
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  
To: aknahow who wrote (13216)6/29/2003 7:18:55 PM
From: russwinter  Read Replies (1) of 39344
 
<if you think the entire loans are not sold and then packaged for resale either as pass thrus, or parts of CMOs'>

That's what I think exactly. Not all mortgage loans are securitized, and even those that are, are often held in the portfolios of banks, and other lending institutions , and I challenge you to prove otherwise.

<Tell me about the book about Long Term capital.Did you read it?>

I most certainly did read it, and for the record I read all the books I post links to. I consider this one essential for anyone seeking an understanding of derivatives. Did LTCM make unhedged bets? Not that especially banged them. Complicated hedges? Perhaps, but mainly they lost because the "bell curve" two standard deviations from the norm that they used in their models turned out to be flawed. I would suggest that's not too uncommon either. A lot of the data that goes into today's interest modelling is based on thirteen consecutive interest rate cuts, and a bond market bubble of historic proportions. Is that a normal bell curve? The chances for plenty of static and hokem in these black box models could be quite substantial as a result. I would cite just one example that you mentioned in your previous post: the use of "similar" securities for duration hedging. I'll just challenge the very heart of that assumption, and ask why an agency mortgaged backed security and a treasury should be characteristized as similar? What if liquidity dried up for the former, because of a small change in perception?
Report TOU ViolationShare This Post
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  

HomeMailHotSubjectMarksPeopleMarksKeepersSettings
Terms Of UseContact UsCopyright/IP PolicyPrivacy PolicyAbout UsFAQAdvertise on SI
© 2026 Knight Sac Media.  Data provided by Twelve Data, Alpha Vantage, and CityFALCON News