SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 7 matches

by CaffeineLover
December 13th, 2019, 8:54 pm
Forum: General Forum
Topic: Why is there prepayment risk for a TBA?
Replies: 1
Views: 3419

Why is there prepayment risk for a TBA?

I've read that a TBA is a forward on a mortgage pool.  The pool is not specified at the time the investors pays for the TBA (which is delivered on a "worst to deliver" basis).  If the trade was for $10M, then the investor will get $10M of MBS notional. I see the interest rate risk (of course).   But...
by CaffeineLover
November 8th, 2018, 4:24 pm
Forum: General Forum
Topic: MBS and Negative Duration
Replies: 2
Views: 4042

MBS and Negative Duration

I understand why IOs have negative duration and why POs have positive duration. I know that CMOs can have either positive or negative durations, but I don't know why. What are the conditions for a CMO to have negative duration?  What is the economic explanation for why a CMO duration becomes negative?
by CaffeineLover
June 1st, 2016, 5:04 pm
Forum: Careers Forum
Topic: How Do Headhunters Work?
Replies: 5
Views: 2297

How Do Headhunters Work?

<t>Utterly fascinating! Thanks for sharing -- you've given me enough to Google on. It should be possible to optimize how I deal with headhunters for finding new opportunities.I'm surprised there's not more interest in headhunters on the boards at Wilmott. They seem to be "gatekeepers" for our career...
by CaffeineLover
May 31st, 2016, 7:13 pm
Forum: Careers Forum
Topic: How Do Headhunters Work?
Replies: 5
Views: 2297

How Do Headhunters Work?

<t>What is the nature of the relationship between a headhunter and a company to which he can send candidates? Does he have a special relationship with these companies? If so, then I take it that:If a HH has a relationship with companies X, Y, Z, then he cannot get someone an interview with company C...
by CaffeineLover
May 25th, 2016, 8:40 pm
Forum: Careers Forum
Topic: Need Advice on How to Study / Proceed
Replies: 9
Views: 2647

Need Advice on How to Study / Proceed

<t>The first 3 years of my career was spent as a quant developer. Mostly Java, C++, and VBA. I started in 2006, ten years ago now and was damned good: advanced - expert level.In 2009 I landed my first quant role: MBS/ABS valuations, and then after that, market/credit risk management. There was alway...
by CaffeineLover
May 25th, 2016, 7:48 pm
Forum: Careers Forum
Topic: Trading Firms
Replies: 4
Views: 1633

Trading Firms

<t>That's really interesting -- starting a company that trades on its own capital must require a truly, truly TREMENDOUS amount of capital, especially in light of the fact that you're probably paying your quants and programmers 150k - 200k a year. Plus a mission-critical IT framework. I can't even f...
by CaffeineLover
May 25th, 2016, 6:08 pm
Forum: Careers Forum
Topic: Trading Firms
Replies: 4
Views: 1633

Trading Firms

<t>I recently became aware of trading firms like Quantlab, Jump Trading, Engineer's Gate. They tend to be small firms with small (or no) websites.Who are their clients? Do they have traders or do they simply sell proprietary trading strategies (or both?) Are they involved with asset management at al...
GZIP: On