Financial Theory (ECON 251) 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 trenching 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. 00:00 – Chapter 1. Fannie Mae, Freddie Mac, and the Mortgage Securities Market 17:01 – Chapter 2. Collateralized Mortgage Obligations 22:44 – Chapter 3. Modeling Prepayment Tendencies at Kidder Peabody 35:40 – Chapter 4. The Rise of Ellington Capital Management and the Role of Hedge Funds 52:52 – Chapter 5. The Leverage Cycle and the Subprime Mortgage Market 01:13:51 – Chapter 6. The Credit Default Swap 01:18:36 – Chapter 7. Conclusion Complete course materials are available at the Open Yale Courses website: open.yale.edu This course was recorded in Fall 2010.
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