@article {Narasimhan84, author = {Krishnamoorthy Narasimhan and K. Krishnan Nair}, title = {Collateralized Synthetic Obligation Restructuring}, volume = {18}, number = {3}, pages = {84--90}, year = {2012}, doi = {10.3905/jsf.2012.18.3.084}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article, the authors discuss an optimization-based methodology for restructuring collateralized synthetic obligations (CSOs). The restructuring methodology consists of the following components: 1) credit quality arbitrage using a risk-based optimizer and 2) a CSO pricer. The risk-based optimizer involves the use of nonlinear optimization techniques to obtain an optimal portfolio subject to constraints imposed by the investor; and as the name suggests, the CSO pricer calculates the price of the CSO in question. Sample results using a hypothetical portfolio structure are presented.TOPICS: Fixed income and structured finance, credit risk management}, issn = {1551-9783}, URL = {https://jsf.pm-research.com/content/18/3/84}, eprint = {https://jsf.pm-research.com/content/18/3/84.full.pdf}, journal = {The Journal of Structured Finance} }