History of the Mortgage Market - A Personal Narrative

Explore the evolution of the mortgage securities market through a personal narrative in this 1 hour 19 minute lecture from Yale University's Financial Theory course. Gain insights into the roles of Fannie Mae, Freddie Mac, and investment banks in shaping the industry. Discover the intricacies of collateralized mortgage obligations, securitization, and trenching of mortgage pools. Learn about the development of agent-based models for predicting prepayment tendencies and understand the rise of mortgage hedge funds. Examine the leverage cycle, the subprime mortgage market, and the introduction of credit default swaps. This comprehensive overview provides a unique perspective on the history and complexities of the mortgage market from an experienced mathematical economist turned industry insider.

- Chapter 1. Fannie Mae, Freddie Mac, and the Mortgage Securities Market
.
- Chapter 2. Collateralized Mortgage Obligations
.
- Chapter 3. Modeling Prepayment Tendencies at Kidder Peabody
.
- Chapter 4. The Rise of Ellington Capital Management and the Role of Hedge Funds
.
- Chapter 5. The Leverage Cycle and the Subprime Mortgage Market
.
- Chapter 6. The Credit Default Swap
.
- Chapter 7. Conclusion
.