CDO • Introduction to CDOs • Types of CDOs • Transaction Structure & Mechanics • Evaluation of CDOs • Risk associated with Investing in CDOs • Fair spread estimation with Monte Carlo Simulation • CASE STUDY: HVB ASSET MANAGEMENT ASIA (HVBAM) • CDO in Subprime Mortgage Crisis Introduction to Collateralized Debt Obligations (CDOs) A CDO is an asset-backed security whose underlying collateral is typically a portfolio of bonds (corporate or
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deleted and remaining stocks will suffer from downside risk. However‚ shareholders of an index do enjoy zero tracking errors and will certainly wait until the effective day to rebalance. Therefore‚ as a trader at Goldman Sachs‚ I would play the arbitrage game. I would provide liquidity to index investors by shorting freshly added stocks and buying excluded ones. Via this move‚ I would hope a forthcoming favorable reversal impact as I expect (perhaps wrongly) prices to return to normality. After all
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–S0 Cash Flow at Time T ST + D Short futures 0 F0 – ST Borrow S0 –S0(1 + r) Total 0 F0 + D – S0(1 + r) b. The net initial investment is zero‚ whereas the final cash flow is not zero. Therefore‚ in order to avoid arbitrage opportunities‚ the equilibrium futures price will be the final cash flow equated to zero. Accordingly: F0 = S0 (1 + r) – D c. Noting that D = (d S0)‚ we substitute and rearrange to find that: F0 = S0 (1 + r – d) 7. a. F0 = S0 (1 + rf) = $120
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Bibliography: Abreu D.‚ Brunnermeier M. (2002)‚ “Synchronization risk and delayed arbitrage”‚ Journal of Financial Economics‚ Vol. 66‚ 2-3‚ p. 341-360 Barber B.‚ Odean T. (2001)‚ “Boys will be Boys: Gender‚ Overconfidence‚ and Common Stock Investment”‚ Quarterly Journal of Economics‚ Vol. 141‚ 2‚ p. 261-292 De Long B.‚ Shleifer A.‚ Summers
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Rationale International Management is the major challenge facing organisations entering the new millennium. All countries and companies are part of the super competitive global marketplace. Therefore students should be more knowledgeable about the international dimensions of management and should establish critical thinking in the area. The course will examine managerial issues in cross – national business operations. The focus will be on the intersection between strategic management and organisation
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MEASUREMENT APPROACH TO DECISION USEFULNESS • (184) MEASUREMENT APPROACH: i. ii. iii. Accountants (not investors) “undertake a responsibility” To incorporate CURRENT VALUE ACCOUNTING directly in to the F/S Provided “reasonable (37) reliability” iv. v. a. b. As part of an “increased obligation” of the accounting profession “To assist investors to predict future performance and value” Performance = N.I. Value = share price vi. Via a “more informative information system”
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Capital Structure Theories Capital Structure Capital Structure is the proportion of debt‚ preference and equity capitals in the total financing of the firm’s assets. The main objective of financial management is to maximize the value of the equity shares of the firm. Given this objective‚ the firm has to choose that financing mix/capital structure that results in maximizing the wealth of the equity shareholders. Such a capital structure is called as the optimum capital structure. At the optimum
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expectation – Δk is the k-difference operator‚ so Δkst+k = st+k - st Covered interest parity (CIP) • Very often forex efficiency is dealt with in terms of spot and forward exchange rates and using CIP (Keynes‚ 1923): – under no barriers to arbitrage across international financial markets‚ the interest rate differential on two assets whose only difference is the currency of denomination‚ adjusted to cover the movement of currencies at maturity in the forward market‚ should be continuously
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18th IEEE International Workshop on Quality of Service IEEE IWQoS 2010 16-18 June 2010 Tsinghua University‚ Beijing‚ China Conference Information IWQoS 2010 Sessions Authors Search Welcome Welcome to the IEEE IWQoS 2010 on CD-ROM. This disc is designed so that you may locate papers by session or author‚ as well as with full text search. Papers originated as electronic files and were converted to Adobe Acrobat PDF file format for cross-platiform access. Even though the
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R. Preston McAfee‚ Price Discrimination‚ in 1 ISSUES IN COMPETITION LAW AND POLICY 465 (ABA Section of Antitrust Law 2008) Chapter 20 _________________________ PRICE DISCRIMINATION R. Preston McAfee* This chapter sets out the rationale for price discrimination and discusses the two major forms of price discrimination. It then considers the welfare effects and antitrust implications of price discrimination. 1. Introduction The Web site of computer manufacturer Dell asks prospective buyers
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