Faculty Advisor

Gerstenfeld, Arthur

Faculty Advisor

Wilkens, Kathryn A.

Abstract

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.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2002

Major

Industrial Engineering

Project Type

Major Qualifying Project

Accessibility

Restricted-WPI community only

Advisor Department

Business

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