Wilkens, Kathryn A.
J.P. Morgan Securities Inc
J.P. Morgan Chase holds a $10 billion structured position in senior secured leveraged bank debt held in various investment vehicles with about 475 borrowers and 14,000 different loans. The majority of the debt is high yield with a small percentage in bonds and notes. This paper seeks to develop a process for statistically analyzing the various loan tranches based on default history, distressed pricing, and prepayment characteristics through the development of a Microsoft Access database with customized analysis and reporting capabilities.
Worcester Polytechnic Institute
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