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Yes, absolutely. You will be shocked how complex CMOs might be just to calculate plain cashflow on a tranche (https://www.amazon.com/Handbook-Mortgage-Backed-Se
by Postosuchus 2y ago
Yes, absolutely. You will be shocked how complex CMOs might be just to calculate plain cashflow on a tranche (https://www.amazon.com/Handbook-Mortgage-Backed-Securities-7th/dp/0198785771 https://www.amazon.com/Handbook-Mortgage-Backed-Securities-7... is a great standard treatise on the topic). Add to this interest rate modeling and prepayment modeling - and we are talking serious logical complexity. And this is the area where people get REALLY pissed when you have bugs.
- ggm 2y agoIf the bugs affect your shock preparedness, and liquidity status and mandated holdings/reserves, you might be in a world of hurt: Failing compliance can permit the feds to step in and seize the enterprise, if it's in the regulated space.