RT Journal Article
SR Electronic
T1 Collateralized Synthetic Obligation Restructuring
JF The Journal of Structured Finance
FD Institutional Investor Journals
SP 84
OP 90
DO 10.3905/jsf.2012.18.3.084
VO 18
IS 3
A1 Krishnamoorthy Narasimhan
A1 K. Krishnan Nair
YR 2012
UL https://pm-research.com/content/18/3/84.abstract
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