Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale …

GL Tassinari, C Corradi - Quantitative Finance, 2013 - Taylor & Francis
Collateralized Funds of Hedge Fund Obligations (CFOs) are relatively recent structured
finance products linked to the performance of underlying funds of hedge funds. The capital …

[PDF][PDF] Pricing equity and debt tranches of collateralized fund of hedge funds obligations

GL Tassinari - 2009 - aisberg.unibg.it
Credit structuring technology has been employed to create the market for collateralized debt
obligations (CDO). CDOs redistribute credit risk to meet investor demands for a wide range …

[BOOK][B] Mastering Illiquidity: Risk management for portfolios of limited partnership funds

T Meyer, P Cornelius, C Diller, D Guennoc - 2013 - books.google.com
Arms investors with powerful new tools for measuring and managing the risks associated
with the various illiquid asset classes With risk-free interest rates and risk premiums at …

Performance analysis of a collateralized fund obligation (CFO) equity tranche

S Aboul-Enein, G Dionne… - New Facets of Economic …, 2020 - taylorfrancis.com
This article examines the performance of the junior tranche of a collateralized fund
obligation (CFO), ie the residual claim (equity) on a securitized portfolio of hedge funds. We …

[BOOK][B] New Facets of Economic Complexity in Modern Financial Markets

C Kyrtsou, D Sornette, C Adcock - 2019 - api.taylorfrancis.com
New Facets of Economic Complexity in Modern Financial Markets Page 1 New Facets of
Economic Complexity in Modern Financial Markets The book is motivated by the disruptions …

[PDF][PDF] Hedge funds: Alternative investment strategies and portfolio models

W Mader - 2008 - d-nb.info
The hedge fund industry is moving out of the alternative corner and into the mainstream.
Investments in hedge funds have experienced considerable and steady growth in recent …

On pricing risky loans and collateralized fund obligations

E Eberlein, H Geman, DB Madan - Robert H. Smith School …, 2009 - papers.ssrn.com
Loan spreads are analysed for two types of loans. The first takes losses at maturity only; the
second one follows the formulation of CFOs (Collateralized Fund Obligations), with losses …

Mastering Illiquidity

P Cornelius, C Diller, D Guennoc, T Meyer - 1988 - Wiley Online Library
With risk-free interest rates and risk premiums at record lows, many investors are turning to
illiquid assets, such as real estate, private equity, infrastructure and timber, in search of …

Collateralized Fund Obligations (CFO): Fusion des fonds de couverture aux CDO

S Aboul-Enein - Assurances et gestion des risques, 2009 - erudit.org
Les Collateralized Fund Obligations (CFO) constituent une gamme relativement nouvelle de
véhicules financiers faisant partie de la grande famille des produits dérivés issus de la …

[CITATION][C] Managing a hedge fund: a complete guide to trading, business strategies, operations, and regulations

KH Black - (No Title), 2004 - cir.nii.ac.jp
Managing a hedge fund : a complete guide to trading, business strategies, operations, and
regulations | CiNii Research CiNii 国立情報学研究所 学術情報ナビゲータ[サイニィ] 論文・データを …