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Debt Obligations (debt + obligation)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Semi-analytic Approaches to Collateralized Debt Obligation Modelling

ECONOMIC NOTES, Issue 2 2004
Christian Bluhm
Collateralized debt obligations (CDOs) constitute an important class of asset-backed securities. Most major banks use CDOs as portfolio management tools for achieving regulatory capital relief, economic risk transfer and funding. On the other side, banks and other financial institutions invest in CDO tranches with a risk/return profile matching their risk appetite and investment policies. For both sides (risk selling and risk buying) of a CDO transaction, sound mathematical tools are required for an evaluation of the deal. In this paper, we investigate some techniques for CDO modelling, paying special attention to approaches based on semi-analytic approximations. [source]

Toward a New Corporate Reorganization Paradigm

JOURNAL OF APPLIED CORPORATE FINANCE, Issue 4 2007
Donald S. Bernstein
Chapter 11 is becoming an increasingly flexible, market-driven forum for determining who will become the owners of financially troubled enterprises. With increasing frequency, distressed companies are sold in Chapter 11 as going concerns. At the same time, distressed investors, including hedge funds and private equity investors, are actively trading the debt of such companies in much the same way that equity investors trade the stock of solvent companies. Market forces drive the troubled company's debt obligations into the hands of those investors who value the enterprise most highly and who want to decide whether to reorganize or to sell it. One way or the other, the Chapter 11 process is used to effect an orderly transfer of control of the enterprise into new hands, whether the creditors themselves or a third party. But if the market-oriented elements of this new reorganization process promise to increase creditor recoveries and preserve the values of corporate assets, other recent developments could present obstacles to achieving these goals. In particular, the increased complexity of corporate capital structures and investment patterns,including the issuance of second-lien debt and the dispersion of investment risks among numerous parties through the use of derivatives and other instruments,threatens to increase inter-creditor conflicts and reduce transparency in the restructuring process. These factors, coupled with provisions added to the Bankruptcy Code that selectively permit "opt-out" behavior by favored constituencies, could interfere with the ability of troubled companies to reorganize as the next cycle of defaults unfolds. [source]

Copula sensitivity in collateralized debt obligations and basket default swaps

THE JOURNAL OF FUTURES MARKETS, Issue 1 2004
Davide Meneguzzo
This article empirically faces the lively debate over the choice of an appropriate copula function to be used to price and risk monitor some credit derivatives products. We consider the explicit pricing of collateralized debt obligations and basket default swaps, and empirically examine these credit derivatives within the copula framework. The results support in particular the choice of the T-copula because of its greater flexibility in capturing the tail dependence. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:37,70, 2004 [source]