A Method for Designing CDO Conformed to Investment Parameters

Nakae, Tatsuya; Moritsu, Toshiyuki; Komoda, Norihisa

doi:10.1541/ieejeiss.126.1026

Cited by 1 publication

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“…Recently, market-oriented indirect financing has received much attention, and the market for collateralized debt obligation (CDO), which is one form of marketoriented indirect financing, is expanding more and more [1]. We have been developing a method for designing a CDO that conforms to the investment parameters, which are credit capability and the issue amount required by investors [2,3]. In this method, the CDO portfolios that meet constraints such as investment parameters are derived by moving the boundaries of tranches in a certain band.…”

Section: Introductionmentioning

confidence: 99%

Fast calculation method for fine‐tuned design of need‐based collateralized debt obligation (CDO)

Nakae

Baba

Moritsu

et al. 2007

IEEJ Transactions Elec Engng

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In this paper we propose a speed-up method for need-based collateralized debt obligation (CDO) that meets the investor needs of the attributes of the CDO. We note the fact that the computing time to derive the best portfolio is proportional to the number of generated contract conditions that constitute the portfolio. Our method reduces the number of portfolios that can never be the best portfolios by skipping the generation of redundant contract conditions of Super Senior (SS) debt and Equity debt, which is the main cause for the increase of the generated contract conditions. A comparative experiment indicates that the proposed method makes it possible to double the types of tranches or to raise the calculation accuracy nearly 6-fold, keeping the urgency of the calculation. 

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Section: Introductionmentioning

confidence: 99%