Recent Content by MoralHazard

  1. Bond Question

    A 30 yr T-bond should always trade "near" par (barring big rate jumps) since it is, by definition, on-the-run. Perhaps you want to follow a...
    Post by: MoralHazard, Nov 20, 2007 in forum: Economics

  2. GARCH, etc.

    Thanks, a lot of stuff there. The innovations can be conditionally Gaussian (or not), and nowhere did I say the unconditional distribution is...
    Post by: MoralHazard, Jul 15, 2006 in forum: Options

  3. GARCH, etc.

    Seems to me that that's roughly what I was saying. Explain to me why I don't understand the concept of "forecasting volatility."
    Post by: MoralHazard, Jul 15, 2006 in forum: Options

  4. GARCH, etc.

    Useful post. I have not searched, but will. ATM IV from a Gauss fit would certainly match ATM IV from a GARCH model if the tails were tossed out...
    Post by: MoralHazard, Jul 15, 2006 in forum: Options

  5. GARCH, etc.

    I agree that perhaps you don't need it: the derivative's worth whatever two people agree upon at that instant (with their information set)....
    Post by: MoralHazard, Jul 15, 2006 in forum: Options

  6. GARCH, etc.

    Dunno, but if the underlying really does exhibt GARCH effects, and the masses price it like a log-normal, you can take their money because you...
    Post by: MoralHazard, Jul 15, 2006 in forum: Options

  7. GARCH, etc.

    Curious why you say this.
    Post by: MoralHazard, Jul 14, 2006 in forum: Options

  8. Fannie and Freddie at risk, Treasury says

    Cutting ties completely also means you can no longer force them to confine business to residential mortgages, etc. Eventually they'll just be...
    Post by: MoralHazard, Jun 29, 2006 in forum: Economics

  9. Fannie and Freddie at risk, Treasury says

    Agree on the first para, but also add that I think most guys below the very top are very very good and very very honest. Also, the shenanigans...
    Post by: MoralHazard, Jun 29, 2006 in forum: Economics

  10. Fannie and Freddie at risk, Treasury says

    Yes, but what's in their MBS? A previous poster brought up the question of ARMs.
    Post by: MoralHazard, Jun 29, 2006 in forum: Economics

  11. Fannie and Freddie at risk, Treasury says

    Someone correct me, but most of the retained portfolio consists of fixed rate mortgages, pooled as their own MBS. So ignore ARMs. Suppose you...
    Post by: MoralHazard, Jun 28, 2006 in forum: Economics

  12. Fannie and Freddie at risk, Treasury says

    MV of assets drops, cost of debt not as much - they're typically short-funded, but try to keep the duration gap at 6 months or less. D/V is about...
    Post by: MoralHazard, Jun 28, 2006 in forum: Economics

  13. Fannie and Freddie at risk, Treasury says

    Agreed... credit risk is less of a problem in a systemic way (though, who knows) than prepayment and interest rate risk. The problem with the...
    Post by: MoralHazard, Jun 28, 2006 in forum: Economics

  14. Fannie and Freddie at risk, Treasury says

    Those are market forces, right? GSEs claim to hedge well, but don't use static hedges (though FRE is moving that way, I believe) precisely because...
    Post by: MoralHazard, Jun 28, 2006 in forum: Economics

  15. Fannie and Freddie at risk, Treasury says

    Got it. Increased credit risk for banks (I don't think GSEs buy ARMs) is also a problem that might result from a GSE collapse (via the effect on...
    Post by: MoralHazard, Jun 28, 2006 in forum: Economics