r*******t
发帖数: 8550 | 1 美国时间4月13日，高盛在第一时间否认了美国参议院常设调查委员会(Senate
permanent subcommittee on investigations)《金融危机调查报告》(下称“报告”)
的指控，称不同意报告的大部分内容，但仍将严肃对待委员会在报告中涉及的问题。
然而，这份历经两年调查、长达639页的报告证据凿凿。报告指控高盛集团误导客
户、操纵市场，并在2007年抵押贷款市场崩溃之际以损害客户利益为代价牟取暴利。
与前一份调查报告相比，这份报告添加了细节，包括高盛如何向顾客推荐4种CDOs(
担保债权凭证)，却对产品的关键信息、市场的看法以及与客户完全相反的经济利益的
情况进行隐瞒。
报告措辞激烈，认为作为投资银行，高盛设计、推销并为CDO产品背书，收取巨额
服务费，然而潜在的市场风险和机遇出现时，它却背弃了本应履行的服务义务，选择背
道而驰。
调查委员会发现，2007年时，高盛已意识到抵押贷款市场在下滑，于是持有大量抵
押债券相关的净空头，并两次大量购买和获利。同时，高盛非常积极地配置和向顾客推
销质量非常差的CDOs产品。在这期间，高盛在隐瞒关键性事实的情况下，向客户... 阅读全帖 |
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m********5
发帖数: 17667 | 2 摩根大通（简称摩通）与摩根士丹利（简称大摩）驻伦敦的银行家正在设计合成CDO。
CDO让投资者押注一篮子公司的信用可靠程度，普通CDO把多种债券集合打包，合成CDO
集合的则是与保险类似的债券衍生品合约。跟其金融危机时的「前辈」一样，新型CDO
根据风险和回报划分成不同级别，若投资者想获得最高回报，就要购买风险级别最高的
投资品。
知情人士透露，一小批机构投资者最近在伦敦这个全球衍生品交中心联系摩通与大摩，
查询合成CDO事宜，两家投行正努力招徕更多投资者购买这些工具，但在找到足够多的
投资者之前，它们不会推进CDO的销售。两家银行对有关消息不予置评。 |
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w**********5
发帖数: 1741 | 3 XIV 和CDO^2 的惊人相似
CDO^2是上次金融危机的名星产品，金融危机之前很赚钱；金融危机以后，成为千夫所
指。
XIV 是这次崩盘的名星产品。崩盘前，很赚钱，是最受欢迎的ETF之一；估计崩盘结束
以后，也会成为千夫指。
CDO^2 是以前华尔街精英人士的杰作。制作工艺精良，步骤繁琐，技术高超。
mortgage loans -> subprime loans ->
subprime CDS -> synthetic CDO -> CDO^2
XIV 是现在华尔街精英人士的杰作。同样是制作工艺精良，步骤繁琐，技术高超。
stocks -> stock index -> synthetic index futures and options -> VIX -> VIX
futures -> XIV
近几年，股票指数成了名星产品，流动性很大。流动性大，就能够支撑着各种各样繁琐
的金融衍生品。有时候，这些衍生品比如XIV，会反过来主宰股票市场。
CDO^2 和XIV 平时都很赚钱，原因都是因为他们实质上是在卖保险。卖保险，在风平浪
静的日子里，确实是非常赚钱的生意；唯一缺点是，在狂... 阅读全帖 |
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g****h
发帖数: 481 | 4 I am just curious, if goldman sucks did anything like what Magnetar did?
That is, create the CDO, sell most of it to their customers and buy CDS
on the whole CDO? If the CDO got belly up, they win big with the CDS. If
this is the case, it is definitely a fraud.
up.
It's |
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L****a
发帖数: 572 | 5 They can have their argument against that. Because GS is
a market maker, they should have a pool of CDO inventory
in order to do trade. To protect the value loss of the
CDO inventory, they need to buy CDS to hedge up their
CDO inventory. |
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g****h
发帖数: 481 | 6 This CDO market making thing is elusive to me. I know the market making
thing for stock/option. Basically, for stocks, the exchange grants you the
privilege to be the market maker. For CDO, there is no clearing house. Can
anyone who trades CDOs claim himself doing market making? |
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d*****z
发帖数: 114 | 7 CDO market is relatively small compared to the whole packaged mortage-backed
security market.
US mortgage as a whole is about 10 trillion. Global CDO market is 1.5-2
trillion at its peak in 2006. So CDO itself wasn't creating a lot of
leverage.
cr
e
o |
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L****a
发帖数: 572 | 8 I just listened to the hearing. Yes, I am right. Those 4 people
in the panel are all coming from GS's ABS desks. As they claimed,
they are market makers for CDO and other instruments. Typically,
they have CDO positions and CDS positions (they call it
single-name CDS), so that CDS can hedge the CDO inventory risk,
and vise versa. However, there's always residule risk which makes
the whole inventory net long or net short. However, the inventory risk
could also become profitting opportunity if the |
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a*********a
发帖数: 3656 | 9 getting into the pricing of a CDO, one first note that the price of a CDO
depends on the correlation in the default processes.
to illustrate this consider CDOs on a basket of 2 assets in a one period
world. each asset has notional of 1, the total notional of the basket is 2.
recovery rates are both 0.
A and B. each has 50% prod to default between time 0 and T. coupon and
protection payments only happen at the end of the single period T.
we have two tranches, equity 0 - 50%, and super senior 50-1 |
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L****a
发帖数: 572 | 10 What do you mean by "googling". Anybody learned financial engineering should
know what is cash CDO and synthetic CDO and how it works. And I read
an article by Soros in Financial Times.
enc
underlyin |
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n******n
发帖数: 12088 | 11 how about cds?
i think aig was killed by cds on cdo, not cdo itself.
backed |
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B*********h
发帖数: 800 | 12 ☆─────────────────────────────────────☆
yfh (简单略过了) 于 (Fri May 25 01:10:26 2007) 提到:
看了半天也没看懂,就是感觉都是DEBT. 请解释
☆─────────────────────────────────────☆
Fine (coulda shoulda woulda) 于 (Fri May 25 03:26:40 2007) 提到:
my limited understanding, CDO can be any kind of debt or asset backed, MBS
is only mortgage backed. ??
☆─────────────────────────────────────☆
yfh (简单略过了) 于 (Fri May 25 08:49:02 2007) 提到:
照你这么说, MBS是一种CDO?
☆─────────────────────────────────────☆
aasmil |
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s**a
发帖数: 178 | 13 Company: Our client is a leading investment and asset management company
specializing in fixed income and credit products managed primarily through
Collateralized Debt Obligations (CDOs). The company currently manages over $
30 billion in fixed income assets across 35+ CDOs, two REITs, and a
proprietary credit arbitrage hedge fund vehicle, earning it the distinction
and industry recognition as one of the largest and most dynamic asset
managers.
Loc: NYC
Level: VP - Director
Job Overview: The suc |
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a*********a
发帖数: 3656 | 14 CDO, collarteralized debt obligation.
the contract is based on a pool of credit risky assets.
the issuer of the CDO selects and buys these assets before the issuance.
this process is reffered to as ware housing. during the ware housing, the
issuer is exposed to the risk that these assets loose value. Typically the
issuer will put on short term hedges.
the asset pool is divided into tranches.
Each tranche is defined by an attachment point and a detachment point. the
buyer of the tranches pays th |
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a*********r
发帖数: 139 | 15 I don't claim myself to be a top expert. But these two are very basic
concepts in finance. CDO stands for collateralized debt obligation. It's a
kind of structured finance product. CMO is the abbreviation of
collateralized mortgage obligation. It's a special type of CDO.
If you want to know details of CMO, its history, how it works, etc, read
chapter 24 of Handbook of Fixed Income Securities, 7th edition, 2005
If you want to know who these products play their roles in the 2008
financial crises, ... 阅读全帖 |
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a***r
发帖数: 594 | 16 CMO in principal is a type of CDO.
but in many places, CDO is limited to mean those in only the corporate debt
sector, not the mortgage sector.
do you at least remember supficially what the interviewer said so we can
better guess what he was eluding to . |
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h*y
发帖数: 1289 | 17 都是abs，asset backed securities
underlying不同，cdo是a portfolio of bonds（这个portfolio还不一定真实存在）
cmo是a pool of mortgages.
cash flow不同，一个amortize一个不amortize
cdo主要考虑default correlation; cmo除了default之外prepayment非常重要(CMBS除
外）
......
总之这两个虽说都是abs但差别很大。 |
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h*******u
发帖数: 15326 | 18 【 以下文字转载自 USANews 讨论区 】
发信人: huahuaniu (花牛), 信区: USANews
标 题: 现在最悲催的是各大公司的CDO
发信站: BBS 未名空间站 (Fri Feb 3 00:46:45 2017, 美东)
chief diversity officer
基本上直挺挺的坐着等下岗 |
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w***u
发帖数: 17713 | 21 统计的最大问题就是没有因果
: CDO是倒果为因的统计学的失败应用
|
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I***e
发帖数: 1136 | 22 Well, CDOs are asset based security so by definition it is not dreamed up.
The fact that these bad loans have poor credit quality is irrelevant. It's
up to the buyers and sellers of the loans to decide what's a fair price. |
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L****a
发帖数: 572 | 23 However, there could be more synthetic derivatives than underlying.
It's just like options, there could be more call options than the float
of stocks, as long as somebody is willing to write a call, and somebody
is willing to buy the call. In that case, the call is naked.
Just like Soros said, there's more AAA CDOs than the AAA mortgage debt.
In that sense, some of the synthetic dervatives are created from thin
air.
loans. |
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v****e
发帖数: 19471 | 24 yeah they insured the CDOs at very low premiums (like 20bp--200bp a year dep
ending on ratings). they realized the problem fairly early--it was like fall
2006 when they stopped doing that. but it was already too late. |
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j*a
发帖数: 14423 | 25 谁知道这是不是gs里面不同的division做了相反的事情 如果是的话有点冤吧
CDOs( |
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z****p
发帖数: 138 | 27 想了解CDO structure 方面的知识，最好是从头到尾，包括cash flow, legal, 等等。
谢谢 |
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c***s
发帖数: 1292 | 28 amazon上面好像最近有两本新书关于这个的。比较入门。用excel+VBA做model。我在mo
ody's, S&P的朋友都基本人手一本
一本是薄的，蓝色封面，
一本比较厚，绿色封面
具体名字忘记了，你用structured finance excel或者VBA做关键字能在amazon上面找到
我翻过那本薄的，觉得写的不错，看完以后基本都明白了，然后再去看高精尖的就轻松
很多，呵呵
想了解CDO structure 方面的知识，最好是从头到尾，包括cash flow, legal, 等等。
谢谢 |
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s**a
发帖数: 178 | 29 Company: Bulge Bracket Global Investment Bank
Position: Synthetic ABS/MBS/CDO Desk Quants
Level: Jr to Sr
SYNTHETIC MBS DESK QUANTS
They are looking to hire 3 Desk Quants who would have heavy interaction with
the traders and ideally sitting side by side with them to work on pre-
payment modeling of their structured MBS products. Candidate needs to have
a strong computational background, hands on programming (C++) and a trading
floor personality.
1 Director level candidate who can come from a t |
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d**********t
发帖数: 2 | 30 Lehman Brothers Asia is looking for a desk quant for the synthetic CDO
trading desk. Looking for candidates with PhD degree in finance, math, stat,
physics or engineering, programming experience, good communication skill.
If interested, pls send your resume to h*****[email protected] |
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c**a
发帖数: 316 | 31 或许这个问题很弱智。
如果把 CDO/ABS 算是坏帐， 那是balance sheet 上的write down，
可是 Citi 到 income statment上， Dec 多了30 个billion 的 interest expense，
cash flow 里 borrowing 有 （40billion）, 借出40b的cash？
这个怎么回事呢？ |
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i*****r
发帖数: 1302 | 32 非也,很多FUND掏了大量便宜货,GS也在买CDO
我也只是想了解下,fixed income不可能没人做 |
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b******e
发帖数: 118 | 33 这两个的本质区别是什么？原以为CMO是CDO的一种，好像完全不是这样的。。。请牛人
指点。 |
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a*********r
发帖数: 139 | 34 Let me add a little bit more details: Actually lots of people in finance use
ABS to refer to loans collateralized by non-mortgage loans assets like auto
loans, credit card receivables, etc. CDO is usually used to refer to ABS
backed by a pool of debt obgliation. (not necessarily bonds). CMO is an
important type of residentail mortgage-backed securities. Other two
important types are pass-through and stripped. |
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h*y
发帖数: 1289 | 35 Actually, I should take that back. Some CDOs are amortizing.
Amortization的payments include principal part and interest part.
Non-amortizing payments contain only periodic interest(coupon) payments
and a final principal payment.
Honestly, you should google it first, because it's a very basic concept. |
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p******o
发帖数: 9007 | 36 What I remember is that Paulson and ACA picked the underlyings together. So
did Paulson play a role misleading ACA as well, or did Paulson mislead Fab
too? Synthetic CDO requires a long and a short, so if ACA was lead to think
Paulson is long, wasn't ACA curious to know who else is on the shorting side
, because it said it thought two longs pick the deals?
Remember, ACA is a very sophisticated player as well, it was an affiliate of
BS, and the manager of this deal was a veteran MD from ML.
's |
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a***r
发帖数: 594 | 37 what I speculated was that Paulson wanted to find some one to take the other
end of a short bet, and the bigger the size the merrier. Unfortunately, no
one with half a brain wanted to do that with him.
GS managed to engineer the standard trick for him at that time. That is to
create a senior tranche that is AAA rated, we all know how easy it was after
tweaking the subordinations a bit and throw in a few triggers. This AAA
piece of shit can be marketed to a broader range of (i.e. dumber) investor... 阅读全帖 |
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k**********4
发帖数: 16092 | 38 Standard & Poor's says it is to be sued by the US government over the credit
ratings agency's assessment of mortgage bonds before the financial crisis.
The civil lawsuit would focus on S&P's high ratings in 2007 for some
mortgage-backed securities that later collapsed in value, said the agency.
S&P says the case is entirely without factual or legal merit.
The suit would be the first such case over alleged wrongdoing by a ratings
agency tied to the financial crisis.
S&P said the justice departmen... 阅读全帖 |
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S**G
发帖数: 180 | 39
大致两种CDO，实际有很多。一种是基于债务的，这个就是把各种债券卖来卖去，前面
的一个贴子里，我分析过了。另一种基于非债务的资产，就像subprime。比如说一个人
贷款100刀买了个房子，再把房子抵押，拿到40刀买别的去了。这样就有债务产生第一
种CDO（100刀），还有房子产生第二种CDO（40刀）。当这个人破产后，100刀的房子被
银行收回，抵消第二个CDO，银行净亏第一种CDO的100刀。我算来算去，真正的CDO造成
的亏损，主要都是基于债务的。第二种CDO的作用实际是把第一种CDO变成100%的亏损。
因为如果没有第二种CDO，那么当银行收回房子后，可以抵消一部分第一种CDO的亏损。
而现在房子完全用来抵消第二种CDO了。所以O8印的钱实际是处理第一种CDO。
CDS是对债权的保险。如果债务偿还了，债权消失，CDS消失。O8接下AIG，和G20一起解
决三角债，CDS就解决了。
现在的情况是债主们手里拿着O8印的美元，但是不再敢随便贷款。而O8急着降rate发国
债想把这些美元重新流进市场。如果这些美元蜂拥入市，美元必然狂扁。所以这些美元
怎么流是决定因素。举几个极端例子。 |
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S*********n
发帖数: 4050 | 40 关于经济危机的起源，是regulation还是deregulation.
认为是regulation造成经济危机的请提供资料。TeddyBear请出手。
============================================
Officially the Great Recession started in December 2007, long before most
Americans on Main Street realized what was about to happen. And according to
the NBER, the Great Recession ended in July 2009, which most Americans on
Main Street cynically laughed at knowing full well their recession was not
over at that time.
There is a lot of blame to go around for the Great Recessio... 阅读全帖 |
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N********n
发帖数: 8363 | 41 I have said it many times: Whoever longing the financial stocks are tying
their portfolio to a time bomb.
======================================================================
Dan Norcini:
The primary drivers in gold and silver today had to do with concerns over
currency devaluation as well as securitized debt problems and the
implications associated with it. Here is what Jim Sinclair had to say:
Jim Sinclair: “Each time that happens an item of collateral on the
securitized debt publicly dies... 阅读全帖 |
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D********n
发帖数: 978 | 42 Synthetic CDO和Cash CDO都算是structured credit trading.
但是你说的这个"Cash CDO (i.e. RMBS, CMBS, ABS)"这个就是概念混淆了。
RMBS, CMBS, ABS这些东西在市场上木有听说被叫做CDO。有ABS CDO这个东西 (或者类
似的CMBS CLO)。这些都是特殊的CDO。比如ABS CDO里面装的是ABS甚至参杂一些RMBS,
而不是像一般的CDO一样装的是corp debt). 但不要误以为RMBS, CMBS, ABS = CDO了。
水果和罐头是两个概念，虽然有水果罐头这么个东西 ^_^...
, |
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b********y
发帖数: 5829 | 43 知情人士表示，美联储(Fed)从一项备受争议的努力中斩获数十亿美元账面利润，该努
力旨在解除美国国际集团(AIG)提供给高盛(Goldman Sachs)等银行的信贷保险合约。
美联储的这项纾困引发了外界的批评，因为如此一来，银行从AIG购买的、为债务抵押
债券(CDO)投保的信贷保险就得到了全额退赔。CDO是承诺买方可从债券池或贷款池中获
得现金流的金融工具。某些人由此声称，纾困AIG是对大银行的“后门纾困”。
但美联储如今可从这部分的纾困中斩获利润。这项纾困涉及用一种由纽约联储(New
York Fed)资助的工具（称为“Maiden Lane III”）来购买作为标的资产的CDO，使承
保这些CDO的保险合约能被终止。
在美联储当初买入时，这些CDO的面值为621亿美元，市场价值估计有296亿美元。据了
解该资产组合第一手资料的几位人士称，如今，这些CDO的市场价值估计至少有450亿美
元。
熟悉该组合的一位人士称：“随着信贷市场复苏和息差收窄，美联储在账面上大赚了一
笔。”
熟悉该组合的人士表示，全盘出售这些CDO会很困难，因为它们普遍流动性不佳。快速
出售可能也会压低它们的价 |
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S*********n
发帖数: 4050 | 44 Son, you brain is too limited to understand what is bigger -
Big Risk: $1.2 Quadrillion Derivatives Market Dwarfs World GDP
By Peter Cohan Posted 10:45AM 06/09/10 Economy, Investing, Investing Basics
Comments Text Size A A A
213413100
One of the biggest risks to the world's financial health is the $1.2
quadrillion derivatives market. It's complex, it's unregulated, and it ought
to be of concern to world leaders that its notional value is 20 times the
size of the world economy. But traders rule t... 阅读全帖 |
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l******i
发帖数: 134 | 45 近来科普金融工程，成为了bbs上的一种时尚。太黑也来凑个热闹。臭名昭著的CDO近来
遭到大家的一致唾弃，连带着做CDO模型的矿工们也被殃及池鱼。
经济崩溃了，大家心里都很郁闷。总得找个发泄处。华尔街成了千夫所指。CDO成了过
街之鼠。历史总是惊人的相似。1987年股市大崩盘，股指期货的遭遇和现在CDO颇有些
类似之处。大家认为，股指期货这东西除了增加人们的赌博欲望，也不产生什么效益，
增大了股市的波动。
但是后来的数据分析表明，没有证据证明股指期货的推出，增大了股市的波动率。股指
期货经历了几十年的发展，非但没有被废除，反而成了一种必备的金融产品。
CDO作为一种房贷证券化的产品，真的就是罪魁祸首么？二十年前的存贷危机，也是因
为房产泡沫破灭，倒闭了一千多家银行，那时候有CDO么？
股指期货为什么能够存在，因为它提供了一种超低成本的规避风险的机制。房贷证券化
，同样对于经营房屋贷款的金融机构提供了一种规避风险的机制。至于为什么那么多金
融机构破产，同时也应该看到有很多金融机构没破产，而且趁机大赚其钱。
刀枪从来不是战争的根源，拉不出屎来，也莫怨茅坑不好。 |
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j***h
发帖数: 4412 | 46 【 以下文字转载自 CivilEngineering 讨论区 】
发信人: jeffh (Jeffh), 信区: CivilEngineering
标 题: 是谁成就了“史上最伟大的交易”
发信站: BBS 未名空间站 (Fri Feb 11 16:23:40 2011, 美东)
是谁成就了“史上最伟大的交易” 2011年02月12日 第一财经日报
《史上最伟大的交易》讲述了这场交易的前因后果以及为何偏偏是保尔森
张愎
2007年前，他只不过是一个郁郁不得志的对冲基金经理，而2007年之后，他成为了被人
们当成神明一样崇拜的华尔街王者；2007年之前，他仅仅管理着80亿美元资金，而2007
年之后，他的资产管理规模急速膨胀至360亿美元；2007年之前，人们只知道美国有一
个财长叫亨利·保尔森，而 2007年之后，“约翰”已经成功上位，远非“亨利”所能
匹敌。他就是约翰·保尔森。
这一系列剧烈的“化学反应”皆因一场做空次级信贷市场的交易而起。而《华尔街日报
》资深专栏作家格里高利·祖克曼所著的《史上最伟大的交易》则为我们讲述了这场交
易的前因后果以及为何偏偏是保尔森得以从一片“废墟... 阅读全帖 |
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t********n
发帖数: 1075 | 47 I had a meeting with my boss, a managing principle engineer and CDO one day.
During the meeting, the managing principle mentioned that he and my boss
had invited a job applicant to come over for an onsite interview the very
next day. Then the CDO said: oh, I don't know we have the plan for
recruiting.
And the next day, I asked my boss when he would be in the interview, and he
told me the managing principle canceled the interview right after that
meeting.....
The managing principle once said t... 阅读全帖 |
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G******i
发帖数: 5226 | 48 ☆─────────────────────────────────────☆
cdos (stay foolish) 于 (Tue Jun 7 12:52:13 2011, 美东) 提到:
4月底失去工作
现在公司还给我发钱，但是工资单上标注了不是regular, its severance
我现在是不是已经黑了？
5月份在疯狂面试很不幸都没有拿到，只好考虑长久之计，我还能转学生签证吗？
我上周已经交了转身份的申请
请好心人帮忙看看我的情况
☆─────────────────────────────────────☆
wchippo (wc) 于 (Tue Jun 7 14:01:23 2011, 美东) 提到:
不懂，bless
☆─────────────────────────────────────☆
floatdreamer (myseas) 于 (Tue Jun 7 14:13:59 2011, 美东) 提到:
先不要想太多，静下心来。调整好心态，做好长期抗战的准备。心态不好，面试很难成
功。现在经济有些好转，越来越多公司开始招人，祝... 阅读全帖 |
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m****s
发帖数: 7397 | 49 excerpt from a Bloomberg article (2010-05-10 00:22:58.147 GMT)
"...
Slices of all four Maxim CDOs were insured by American
International Group Inc., which marked down the value of the
securities to $1.2 billion from $2.5 billion before they were
transferred to the Federal Reserve Bank of New York as part of
AIG’s 2008 government bailout.
Chau left Maxim in 2006 to further capitalize on the CDO
boom. Maxim had a limited interest in the business, according to
two people familiar with the matt... 阅读全帖 |
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j***h
发帖数: 4412 | 50 【 以下文字转载自 CivilEngineering 讨论区 】
发信人: jeffh (Jeffh), 信区: CivilEngineering
标 题: 是谁成就了“史上最伟大的交易”
发信站: BBS 未名空间站 (Fri Feb 11 16:23:40 2011, 美东)
是谁成就了“史上最伟大的交易” 2011年02月12日 第一财经日报
《史上最伟大的交易》讲述了这场交易的前因后果以及为何偏偏是保尔森
张愎
2007年前，他只不过是一个郁郁不得志的对冲基金经理，而2007年之后，他成为了被人
们当成神明一样崇拜的华尔街王者；2007年之前，他仅仅管理着80亿美元资金，而2007
年之后，他的资产管理规模急速膨胀至360亿美元；2007年之前，人们只知道美国有一
个财长叫亨利·保尔森，而 2007年之后，“约翰”已经成功上位，远非“亨利”所能
匹敌。他就是约翰·保尔森。
这一系列剧烈的“化学反应”皆因一场做空次级信贷市场的交易而起。而《华尔街日报
》资深专栏作家格里高利·祖克曼所著的《史上最伟大的交易》则为我们讲述了这场交
易的前因后果以及为何偏偏是保尔森得以从一片“废墟... 阅读全帖 |
|
