PT  - JOURNAL ARTICLE
AU  - Krishnamoorthy Narasimhan
AU  - K. Krishnan Nair
TI  - Collateralized Synthetic Obligation Restructuring
AID  - 10.3905/jsf.2012.18.3.084
DP  - 2012 Oct 31
TA  - The Journal of Structured Finance
PG  - 84--90
VI  - 18
IP  - 3
4099  - https://pm-research.com/content/18/3/84.short
4100  - https://pm-research.com/content/18/3/84.full
AB  - 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