Ho presentato la mia candidatura online. Ho sostenuto un colloquio presso Citibank (New York, NY) nel mese di giu 2026
Colloquio
Explain negative convexity in MBS, what are the differences in hedging MBS between swaps, swaptions, TBAs? Why MBS cash flows are not static? What is the basis risk in MBS? What is the cheapest to delivery option for TBA? How would you perturb market data?