The independence of collateral managers

“The real question throughout the subprime crisis was whether the collateral manager’s role was legit, or whether these firms lent their names and the appearance of objectivity to facilitate the sale of securities that were defective,” said Ann Rutledge, principal of structured-finance consulting firm R&R Consulting. See Serena Ng’s article in today’s WSJ, ‘Collateral Managers’: Independent or ‘for hire’? http://on.wsj.com/ilRuvs.

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Automatic Synthesis of Tri-Diagonal Markov Transition Matrices: A Failure of the Inverse Ferron-Frobenius AlgorithmABSTRACT: Sylvain Raynes experimented with a method developed by Goya and Boyarski (1993) to standardize the synthesis of conditional Markov transition matrices for deal entry in our automated re-rating system, ABSTRAK®. In the analytical literature, the reverse-engineering of a Markov matrix from its spectral-radius eigenvector is referred to as the Inverse Perron-Frobenius Problem. Our analysts do this synthesis manually, so a successful outcome […]

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