Lecture 19 - History of the Mortgage Market: A Personal Narrative

author: John Geanakoplos, Yale University
recorded by: Yale University
published: March 17, 2012,   recorded: November 2009,   views: 3107
released under terms of: Creative Commons Attribution No Derivatives (CC-BY-ND)
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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.

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