1 questions reported in Annaly interviews, organised by the group that asks them. Every question carries a model answer and graded feedback on your own attempt.
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Greeks, skew, hedging costs and payoff construction. 1 question
Core to securitised products desks; also a favourite curveball in rates interviews.
Explain how a mortgage-backed security works and why it exhibits negative convexity. What is convexity hedging and how can it amplify moves in the rates market?
Write your answer, get it graded on technical accuracy, completeness and communication, and see exactly which mechanic you missed.
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