A Top-down Model for Cash CLO

Details A Top-down Model for Cash CLO A Top-down Model for Cash CLO

2010-04-16

arxiv.org/abs/1004.2865v1

Economy

Quantitative Finance

Pricing of Securities

14 pages, 12 figures

Scientific paper

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 the much needed pricing transparency to the cash CLO markets; and it could also greatly improve the risk management of cash instruments.

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