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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 a...
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 a...
Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models
Single Name Dynamics Credit Top Down Models
2010/10/29
In the top-down approach to multi-name credit modeling, calculation of singe name sensitivities
appears possible, at least in principle, within the so-called random thinning (RT)
procedure which dis...