Comments on: Counterparties http://blogs.reuters.com/felix-salmon/2010/05/14/counterparties-152/ A slice of lime in the soda Sun, 26 Oct 2014 19:05:02 +0000 hourly 1 http://wordpress.org/?v=4.2.5 By: q_is_too_short http://blogs.reuters.com/felix-salmon/2010/05/14/counterparties-152/comment-page-1/#comment-14879 Sun, 16 May 2010 17:46:40 +0000 http://blogs.reuters.com/felix-salmon/?p=3850#comment-14879 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.

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By: itsBDK http://blogs.reuters.com/felix-salmon/2010/05/14/counterparties-152/comment-page-1/#comment-14814 Fri, 14 May 2010 14:19:35 +0000 http://blogs.reuters.com/felix-salmon/?p=3850#comment-14814 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.

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