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The Journal of Structured Finance

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Article

Collateralized Synthetic Obligation Restructuring

Krishnamoorthy Narasimhan and K. Krishnan Nair
The Journal of Structured Finance Fall 2012, 18 (3) 84-90; DOI: https://doi.org/10.3905/jsf.2012.18.3.084
Krishnamoorthy Narasimhan
is an executive vice president at PIMCO in Newport Beach, CA.
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  • For correspondence: krishna.narasimhan@pimco.com
K. Krishnan Nair
is an asset analyst at PIMCO in Newport Beach, CA.
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  • For correspondence: krishnan.nair@pimco.com
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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.

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The Journal of Structured Finance: 18 (3)
The Journal of Structured Finance
Vol. 18, Issue 3
Fall 2012
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Collateralized Synthetic Obligation Restructuring
Krishnamoorthy Narasimhan, K. Krishnan Nair
The Journal of Structured Finance Oct 2012, 18 (3) 84-90; DOI: 10.3905/jsf.2012.18.3.084

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Collateralized Synthetic Obligation Restructuring
Krishnamoorthy Narasimhan, K. Krishnan Nair
The Journal of Structured Finance Oct 2012, 18 (3) 84-90; DOI: 10.3905/jsf.2012.18.3.084
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