Opinion

Felix Salmon

Counterparties

By Felix Salmon
May 14, 2010

Alex Tabarrok on the fragility of CDO models. Excellent — MR

The key to happiness: Hate your ex — Atlantic Wire

The Google Job Experiment. Clever. — YouTube

Comments
2 comments so far | RSS Comments RSS

Felix,

I wanted to say thanks for promoting my day in the life of an analyst video on twitter. Didn’t know how to contact you otherwise so I finally decided to comment. I’ve got a few more vids, but this one about goldman is probably my favorite.

http://beedeekay.com/2010/04/18/mr-p-and -the-abacus/

Again much thanks for your posting.

Posted by itsBDK | Report as abusive
 

except the CDO model math is wrong, it doesn’t take correlation into account. waldmann at angrybear covers it.

also, in general, any time you have far out of the money options (in this case the cdo has an embedded short put) there are situations where a small change in the underlying price makes a big change as a percentage in the model price of the option.

Posted by q_is_too_short | Report as abusive
 

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