the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

A Top-down Model for Cash CLO

by Yadong Li of Barclays Capital, and
Ziyu Zheng of Morgan Stanley

April 19, 2010

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.

JEL Classification: G12.

Keywords: CLO, Top-down.

Download paper (165K PDF) 14 pages