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.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Bozfakioglu, Murat
• Kirubi, David Wanyoike

Publisher

• Worcester Polytechnic Institute

Identifier

• 02B036M

Advisor

• Gerstenfeld, Arthur
• Wilkens, Kathryn A.

Year

• 2002

Sponsor

• J.P. Morgan Securities Inc

Date created

• 2002-01-01

Resource type

• Major Qualifying Project

Major

• Industrial Engineering

Rights statement

• In Copyright