The paper investigates the computation of a decision criterion for portfolio choices in the case of structured bonds. The main issue is the computation and the application of risk adjusted indicators as tool to select either the asset portfolio given a structured bond, or the bond structure given an existing coverage asset portfolio. The computation of such indicator is suitable for the appraisal of both portfolio optimization and potential profits of the structured issuance. The selection tool is put into an asset and liability management decision making context, where the relationship between the expected result and the capital at risk are compared in order to evaluate the issuance of the bond and the expected rate of return of the whole portfolio. The case examined is referred to an equity linked bond and is treated by means of Monte Carlo simulations to identify the best portfolio according to the issuer targets and constraints.

Decision Making in Structured Finance: a case in Risk-Adjusted Performance Computation / Cocozza, Rosa; Orlando, Albina. - ELETTRONICO. - (2007), pp. 8-8. (Intervento presentato al convegno 4th International Conference on Computational Management Science tenutosi a GINEVRA (CH) nel April, 20-22, 2007).

Decision Making in Structured Finance: a case in Risk-Adjusted Performance Computation.

COCOZZA, ROSA;ORLANDO, ALBINA
2007

Abstract

The paper investigates the computation of a decision criterion for portfolio choices in the case of structured bonds. The main issue is the computation and the application of risk adjusted indicators as tool to select either the asset portfolio given a structured bond, or the bond structure given an existing coverage asset portfolio. The computation of such indicator is suitable for the appraisal of both portfolio optimization and potential profits of the structured issuance. The selection tool is put into an asset and liability management decision making context, where the relationship between the expected result and the capital at risk are compared in order to evaluate the issuance of the bond and the expected rate of return of the whole portfolio. The case examined is referred to an equity linked bond and is treated by means of Monte Carlo simulations to identify the best portfolio according to the issuer targets and constraints.
2007
Decision Making in Structured Finance: a case in Risk-Adjusted Performance Computation / Cocozza, Rosa; Orlando, Albina. - ELETTRONICO. - (2007), pp. 8-8. (Intervento presentato al convegno 4th International Conference on Computational Management Science tenutosi a GINEVRA (CH) nel April, 20-22, 2007).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/116947
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