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- W2154248077 abstract "We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the potential to bring much pricing transparency to the cash CLO markets; and it could also greatly improve the risk management of cash instruments." @default.
- W2154248077 created "2016-06-24" @default.
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- W2154248077 date "2010-01-01" @default.
- W2154248077 modified "2023-09-25" @default.
- W2154248077 title "A Top-Down Model for Cash CLO" @default.
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- W2154248077 doi "https://doi.org/10.2139/ssrn.1593016" @default.
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