Credit Crunch: Ellington’s Vranos on MBS Innovation and Alpha
“You want to buy the security based on this yield, but you have to protect against the risks,” says Mike Vranos, CEO and founder of Ellington Management Group. “What you...
By Aditya Somani · Bloomberg
“You want to buy the security based on this yield, but you have to protect against the risks,” says Mike Vranos, CEO and founder of Ellington Management Group. “What you see is many investors just ignore the option they’re short or, in the extreme example, they ignore the left tail risk,” Vranos adds when discussing how to deliver alpha in securitized products. He joins Bloomberg Intelligence’s Erica Adelberg and Noel Hebert on the latest episode of Credit Crunch to discuss innovation in the mor