"Be careful, hot. Natalie placed a cup of hot tea in front of Jamie Damon.

"Oh, thank you, thank you. Jamie Dimon couldn't help but look at Natalie twice, and Natalie smiled slightly, took a book and walked out of the room.

Jamie Dimon retracted his gaze and looked at Zhang Chen opposite, "She looks like。。。。。。 The heroine of that killer movie?"

Zhang Chen smiled: "Natalie and I are good friends, and it just so happens that she is also in New York, starring in a stage play, and invited her to stay for a few days." ”

Jamie Dimon showed an knowing expression, "Yes, yes, I understand, good friend, haha." ”

Zhang Chen shook his head helplessly, didn't bother to explain, and gestured: "How about tasting the tea I brought from Huaxia." ”

Jamie Damon curiously picked up the teacup, lifted the bowl, and a fragrance came to his face, and after a while, the room was full of fragrance.

"It smells so good. Jamie Damon sniffed, "This is the tea ceremony of Huaxia?"

Zhang Chen also held the saucer, dialed the tea leaves on the water surface with a bowl, and took a sip, "There are many kinds of tea in Huaxia, and in terms of production methods, it is divided into fermented tea, semi-fermented tea, and non-fermented tea. In terms of taste, it is divided into black tea, green tea, and flower tea, and what you are drinking now is a type of flower tea - jasmine tea. Although the most famous green tea in China is Longjing and the black tea is Da Hong Pao, I still like to drink this tea made with jasmine flowers the most. ”

"The Chinese people are not like the Dongying people, who classify everything as the Tao. Tea is a part of Chinese people's lives, and they just like to drink tea. Like red wine, if you drink too much, you will naturally know which tea is good and which is not. The sense of ritual does not enhance the taste of any tea, it is just a means of artificially dividing the class. ”

Jamie Dimon took a few sips of Zhang Chen's example, and couldn't help but praise: "I don't understand tea, but it's really delicious, and it feels very... Thirst. ”

Zhang Chen laughed and said, "Jamie, if the tea has feelings, it should be very gratifying to hear your evaluation." Quench thirst, haha, of course, the most basic function of any drink is to quench thirst, but unfortunately, many people don't understand such a simple truth. ”

Jamie Dimon put down the tea bowl: "Zack, we don't seem to be friends, do we? If you just let me visit your estate on Long Island today, I don't think there's any need to waste each other's time." ”

Zhang Chen smiled slightly: "But it's not an enemy either." Jamie, I really have a lot of respect for you, your experience with Amex and Travelers Group is legendary, and without you, Sandyvale wouldn't be where it is today. ”

Jamie Dimon laughed and said, "Your means of separation are really too direct and useless." It's true that I have some problems with Sandy right now, but I can't betray him, we're one. ”

Zhang Chen smiled: "I'm really in a discord, you guessed right, but now it seems that the effect is still good, you can come here by helicopter today, isn't it proof of this?"

Jamie Dimon was speechless for a while, Zhang Chen was not too impressed, and waved his hand: "However, I invited you here today, it's really not to say bad things about Sandy, you look at this." ”

As he spoke, Zhang Chen pushed a piece of paper to Jamie Dimon from in front of him.

Jamie Dimon took it and said, "Gaussian copula function?

Zhang Chen said with a smile: "Hey, you are an MBA at Harvard, you can't even understand such a simple model, right?"

Jamie Dimon was unashamed: "I can assure you that I am in this position by no means because I have a B in advanced mathematics. ”

Zhang Chen shook his head helplessly, and handed Jamie Dimon a file bag, "You can always understand this, right?"

Jamie Dimon pulled out a few thin pages from the plastic file bag and looked at it twice, "CDO?Collateral Debenture?Now Solomon Smith Barney also has this business, but the total amount is not large, what's the problem?"

Zhang Chen snapped his fingers: "OK, since you understand, it's much easier to explain." Since the invention of the CDO business, various banks and financial companies have carried out this business accordingly, and the total amount of CDO has now exceeded 10 billion US dollars. But I think almost all financial institutions underestimate the value of the CDO business. I believe it's a market of hundreds of billions, nay, even more than 500 billion dollars. ”

Jamie Dimon shook his head with a smirk: "Zack, maybe you are indeed a genius in financial investing, but I must say that it is not for nothing that DO is not valued by us. ”

"On the one hand, Dechong Securities went bankrupt in the junk securities crisis of the 90s, in which the negative role of the CDO was a source of concern for everyone, and on the other hand, the CDO was too difficult to price and its pool composition was too complex. ”

"The traditional ABS instrument, but the DO includes a large number of debt instruments, even including emerging corporate bonds and state bonds, as well as a mess of other debts, and almost no one can give it a reasonable price. Therefore, the market and income of CDO are far inferior to ABS and CDS, which also causes major financial companies to do not attach importance to CDO business. ”

Zhang Chen smiled slightly: "If I tell you that there is a method that can quickly price the CDO, no, it should be said that it can provide theoretical support for the design, pricing, and risk assessment of the CDO, and can provide a rapid CDO pricing method, do you think this product is still so unattractive?"

Jamie Dimon thought for a moment and picked up the piece of paper that Zhang Chen handed him at the beginning: "You mean this formula can do this?"

Zhang Chen nodded, "Yes, the Gaussian connection dependency function formula solves this problem. Consider a random vector XXXXX, assuming that its edges are continuous XXXXX, and transform each component XXXXXXX by applying the probability integral XXXXXXX, the XXXXXXX random vector has uniformly distributed edges XXXXXXX。。。。。。 ”

Jamie Dimon listened with a little confusion and had a headache, "Zack, are you really sure that this formula alone can solve the problem of the CDO?"

Zhang Chen chuckled: "Of course not, this formula only gives CDO the theoretical basis for tool modeling, with this formula, those mathematical geniuses who graduated from Harvard, MIT, and Stanford can naturally create more CDO models." At that time, it only takes half a month to a month to design a CDO product, and the pricing accuracy will be greatly improved, at least 95%, and the income will be at least 20% higher than the current ABS, and the risk will not increase. ”

Jamie Dimon was shocked that it was 20 percent higher than ABS? That is, it could increase profitability by at least 1 to 2 percent? You know, in the capital-intensive modern financial industry, one more point of gain could mean tens of millions of dollars in additional income. Twenty percent higher returns than an already established financial instrument with the same risk, this is simply the biggest revolution in the financial sector in the last two decades!

If this is true, the person who wrote this formula will win the Nobel Prize in Economics sooner or later if they live long enough.

"How do you prove the validity of this formula?" said Jamie Dimon cautiously.

Zhang Chen smiled: "I have already asked the analysis department of the fire source to conduct a comprehensive analysis of this formula, otherwise how can I be so sure? If you have doubts, I believe that the geniuses of Solomon Milton will give you a correct answer." ”

Jamie Dimon frowned, "You agree with me taking this formula away?"

Zhang Chen shrugged his shoulders: "Of course, there is nothing to keep secret, the CDO must be rated by S&P or Moody's, if they don't adopt this formula, everything we are talking about now is useless." ”

Jamie Dimon's eyes flickered: "You want to use the power of Solomon Smith Barney to influence S&P and Moody's to adopt your rating criteria?"

Zhang Chen laughed and said: "This is not my rating standard, it can only be said to be a new rating standard, which is good for the entire Wall Street." ”

Jamie Dimon closed his eyes and pondered for a moment: "Even if this formula is useful, the market size of the CDO cannot be as large as you say. The total amount of debt in the market is limited, and the total market size of ABS is only 70 billion US dollars, and even if the CDO completely replaces ABS, it will only be about 100 billion at most. ”

Zhang Chen laughed and said, "Jamie, have you forgotten the mortgage?"

Jamie Dimon couldn't help but be stunned, and Zhang Chen smiled very innocently: "Mortgage, the biggest role of CDO is to split and package all debts, including subprime loans, and reduce the default risk of subprime loans after a series of splitting and packaging." And with this formula, S&P and Moody's will be able to give CDOs a higher credit rating, and there will be countless times more AAA-rated CDOs than they do now, and I don't think anyone wants to buy AAA-rated high-yield bonds, right?"

Jamie Damon's heart was pounding, mortgage? yes, why did he forget about it?

Zhang Chen said softly: "If it is combined with CDS (credit default swap), you can further hedge the risk. I believe that once this product is launched, the annual sales will increase at least 30% or more. Last month, thirteen of your big conglomerates collectively pressured Lawrence Summers to ban the Commodity Futures Trading Commission's review proposal for financial derivatives, and the president's endorsement was a good sign. ”

"The most critical thing is that in the current situation where the real estate market continues to rise, Two Houses and Countryide are also ready to increase the loan ratio from three times the annual income to five times the annual income and can accept zero down payment. I believe that the mortgage market will quickly expand to more than 10 times the current one, and the traditional investment tools are no longer suitable for the current market needs, and we must have a new tool that can include the big piece of the mortgage cake. And only a CDO can do this. ”

Zhang Chen's expectations for the real estate market coincide with Jamie Dimon. In the past two years, housing prices in the United States have entered an upward channel, and many areas have risen by 30 to 50 percent. The Clinton administration also introduced a proposal on "home ownership" at the right time, which was approved by both houses of Congress. It is conceivable that the U.S. real estate market will continue to be hot for a long time to come.

Jamie Dimon suppressed his excitement, "How did you get this formula, and why isn't the author on this piece of paper?"

Zhang Chen laughed and said: "It's not important, it's not a very complicated formula, it's just that I occasionally see it from a book, and it has a little change." If anyone is interested, a paper can be published on this formula. ”

Jamie Dimon looked at Zhang Chen suspiciously, "You don't want authorship?"

Zhang Chen shook his head: "If you want to be recognized by S&P and Moody's, I suggest you find a famous economist to hang on." I'm famous enough now that I don't want my life to be disturbed too much. Besides, do you think it's necessary for me to have this false name?"

Jamie Dimon thought about it and couldn't help but smile, except for fund managers like Soros Buffett who have to promote themselves in order to get enough customers, all financial predators in the United States want to be low-key and low-key, and it is best for their names to be passed on only in a small circle, not to be well-known to the public, and it is normal for Zhang Chen, who is a newly promoted billionaire, to have this idea.

Jamie Dimon raised the formula in Young's hand: "It's always hard for me to believe that you're so generous, it's not your style at all. ”

Zhang Chen laughed and said: "Of course not, I have one condition, I want to have more than 40% of the shares in Salomon Smith Barney's CDO business, and of course, I will also pay the corresponding costs." ”

Jamie Dimon thought about it for a moment, "Yes, but only if the formula has to work." And it's also good for Solomon Smith Barney, which can share the risk. However, I can only give you thirty-five percent of the gain. ”

Zhang Chen bargained: "At least thirty-nine." ”

Jamie Dimon: "Thirty-six. ”

Zhang Chen: "Thirty-eight." ”

Jamie Dimon: "No, two points are not enough to cover our management costs, thirty-seven at most. ”

Zhang Chen picked up the teacup: "Deal." ”

In the roar, DO, CDS, and Gaussian connections were dependent functions, and these rankings were spinning around in his head.

In addition to the excitement, Jamie Dimon always has a trace of haze in his heart, and he can't figure out where this haze comes from.

Maybe he was too careful, Jamie Dimon secretly comforted himself in his heart.

Jamie Dimon looked at his watch and picked up the phone on the helicopter: "Bonn, inform the heads of the analytical and technical departments, twenty minutes later my office, yes, twenty minutes." Of course, no matter where they are, I'll definitely see them in twenty minutes!"

(End of chapter)