ECON 251: Financial Theory
Lecture 19 - History of the Mortgage Market: A Personal Narrative. Professor Geanakoplos explains how, as a mathematical economist, he became interested in the practical world of mortgage securities, and how he became the Head of Fixed Income Securities at Kidder Peabody, and then one of six founding partners of Ellington Capital Management. During that time Kidder Peabody became the biggest issuer of collateralized mortgage obligations, and Ellington became the biggest mortgage hedge fund. He describes securitization and tranching of mortgage pools, the role of investment banks and hedge funds, and the evolution of the prime and subprime mortgage markets. He also discusses agent based models of prepayments in the mortgage market. (from oyc.yale.edu)
| Lecture 19 - History of the Mortgage Market: A Personal Narrative |
| Time | Lecture Chapters |
| [00:00:00] | 1. Fannie Mae, Freddie Mac, and the Mortgage Securities Market |
| [00:17:01] | 2. Collateralized Mortgage Obligations |
| [00:22:44] | 3. Modeling Prepayment Tendencies at Kidder Peabody |
| [00:35:40] | 4. The Rise of Ellington Capital Management and the Role of Hedge Funds |
| [00:52:52] | 5. The Leverage Cycle and the Subprime Mortgage Market |
| [01:13:51] | 6. The Credit Default Swap |
| [01:18:36] | 7. Conclusion |
| References |
| Lecture 19 - History of the Mortgage Market: A Personal Narrative Instructor: Professor John Geanakoplos. Transcript [html]. Audio [mp3]. Download Video [mov]. |
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