Structured Products

A Modeling Approach of Return and Volatility of Structured Investment Products with Caps and Floors ArXiv ID: 2311.06282 “View on arXiv” Authors: Unknown Abstract Popular investment structured products in Puerto Rico are stock market tied Individual Retirement Accounts (IRA), which offer some stock market growth while protecting the principal. The performance of these retirement strategies has not been studied. This work examines the expected return and risk of Puerto Rico stock market IRA (PRIRAs) and compares their statistical properties with other investment instruments before and after tax. We propose a parametric modeling approach for structured products and apply it to PRIRAs. Our method first estimates the conditional expected return (and variance) of PRIRA assets from which we extract marginal moments through the Law of Iterated Expectation. Our results indicate that PRIRAs underperform against investing directly in the stock market while still carrying substantial risk. The expected return of the stock market IRA from Popular Bank (PRIRA1) after tax is slightly greater than that of investing in U.S. bonds, while PRIRA1 has almost two times the risk. The stock market IRA from Universal (PRIRA2) performs similarly to PRIRA1, while PRIRA2 has a lower risk than PRIRA1. PRIRAs may be reasonable for some risk-averse investors due to their principal protection and tax deferral. ...

Special Purpose Vehicles and Securitization ArXiv ID: ssrn-3884260 “View on arXiv” Authors: Unknown Abstract This paper analyzes securitization and more generally ?special purpose vehicles? (SPVs), which are now pervasive in corporate finance. The first part of the pap Keywords: Securitization, Special Purpose Vehicles (SPVs), Corporate finance, Asset transfer, Financial engineering, Structured Products Complexity vs Empirical Score Math Complexity: 6.5/10 Empirical Rigor: 7.0/10 Quadrant: Holy Grail Why: The paper includes theoretical modeling to analyze SPV motivations and sustainability, indicating moderate-to-high mathematical complexity, while testing its implications with unique data on credit card securitizations shows strong empirical rigor. flowchart TD A["Research Question: Why do firms use SPVs<br>and what is their economic impact?"] --> B{"Methodology"} B --> C["Data: SEC Filings &<br>Financial Databases"] B --> D["Models: Regression Analysis<br>and Event Studies"] C --> E{"Computational Process"} D --> E E --> F["Statistical Analysis of<br>Asset Transfers & Risk Metrics"] F --> G["Key Findings & Outcomes"] G --> H["SPVs optimize capital structure<br>and reduce financing costs"] G --> I["Asset transfer resolves<br>information asymmetries"] G --> J["Risk segmentation creates<br>efficient structured products"]

Special Purpose Vehicles and Securitization ArXiv ID: ssrn-713782 “View on arXiv” Authors: Unknown Abstract This paper analyzes securitization and more generally special purpose vehicles (SPVs), which are now pervasive in corporate finance. The first part of the paper Keywords: Securitization, Special Purpose Vehicles (SPVs), Corporate finance, Off-balance sheet financing, Asset transfer, Structured Products Complexity vs Empirical Score Math Complexity: 5.5/10 Empirical Rigor: 7.0/10 Quadrant: Street Traders Why: The paper develops a theoretical model to explain SPV usage, contributing to math complexity, but its primary strength is the empirical testing of model implications using unique credit card securitization data. flowchart TD A["Research Goal: Analyze SPV and Securitization<br/>Functionality in Corporate Finance"] --> B["Data Collection<br/>Corporate Filings & Regulatory Databases"] B --> C["Methodology: Structural Analysis<br/>Off-balance Sheet Asset Transfer Review"] C --> D["Computational Process<br/>Risk Exposure & Leverage Calculation"] D --> E{"Key Findings"} E --> F["Increased Leverage &<br/>Systemic Risk Accumulation"] E --> G["Regulatory Arbitrage &<br/>Reduced Transparency"] E --> H["Complexity in<br/>Structured Products"]