2007 – BSIC | Bocconi Students Investment Club

CDOs and structured finance: back to pre-crisis frenzy?

Seven years after the global financial crisis, collateralized debt obligations and mortgage backed securities are back and in good health. According to the latest data, sales of both CLOs (CDOs with loan collaterals) and CMBS (Commercial mortgage-backed securities, the pools on which CMOs are based) are expected to exceed pre-2007 Read more…

By BSIC, 11 years24 May 2014 ago

Trade idea: multifractal volatility and Apple calendar spreads

Given the turbulence in the implied volatility observed in the aftermath of Apple’s Q1 results, we adopt a sophisticated quantitative model to better understand its dynamics. What we have observed so far in the option market is a large decrease in the 1-month implied volatility, and a sustained level of Read more…

By BSIC, 12 years11 May 2013 ago