Returns to Defaulted Corporate Bonds

I test for short term excess return in a sample of 279 defaulted US corporate bonds using multiple regression analysis. There are robust excess returns after controlling for market and liquidity risk. The expected recovery rate during 2001-2006 is estimated to be, on average, four percentage points lower the first month after default than the present value of the recovery rate after nine months.Bond pricing; Recovery rate

Taking Private Equity Fees apart

In this paper I build a simplified model of the remuneration structure of a private equity fund using option theory. This model is then used to analyze the relative importance of the fixed and variable fee parts. The model is complemented with a structural model to evaluate the financial choices of private equity fund managers. It turns out that the control over the financial structure is valuable to the fund manager, hence creating a conflict of interests. From the fund managers point of view the increased expected fee resulting from the independent control over the financial structure of the fund is at some point off-set by the increasing risk in the fund. This creates a static trade-off point for a one fund manager. For a fund manager with future fund projects, there is also a dynamic trade-off between current expected fee and the ability to raise future funds.Private Equity; Fund manager; Fee structure

FE modeling of friction welding

The WRIST project (Innovative Welding Processes for New Rail Infrastructure) aims to develop and present new methods for joining rails. One of the methods proposed is Orbital Friction Welding (OFW) of rails using an intermediate disk.The process is still in development and numerical simulations can provide useful insight and guidance on how to further develop this welding process. This thesis presents 3D thermo-mechanical modeling of OFW for pearlitic rails and 2D axisymmetric modeling of rotary friction welding of thin-walled pipes. Process parameters and sensitivity to material parameters have been studied for both welding methods. From the simulations, it is shown that correct modeling of the generated heat, during the frictional motion, is of high importance. Therefore, this report also presents a model framework which can be used for calibrating a heat generation model based on experimental data. This framework is based on the developed 2D axisymmetric model and has been evaluated using several heat generation models. A model based on a piecewise linear variation for the coefficient of friction with respect to temperature is deemed as the most promising of the considered models. Thermal simulations of OFW for rails have been performed to evaluate the temperature field in the rail and the intermediate disk. Results shows that machine components such as rail clamps have little effect on the resulting temperature field as well as cooling rates. Furthermore, it is shown that a longer heating phase is more likely to result in a pearlitic microstructure in the heat affected zone and is, therefore, preferable. Mechanical simulations of friction welding leads to severe mesh distortions and consequently numerical issues. The results presented are therefore somewhat limited. However, two methods for overcoming this problem has been identified: remeshing during simulation and introduction of visco-plastic material behavior. Both methods are suggested for further study. Finally, models for yield strength at high temperatures are presented and discussed, a material parameter identified as crucial for accurate simulation of the welding process. Keywords: Orbital friction welding of rails, Mesh to mesh solution mapping, R260 rail grade stee