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Synthetic collateralised loan obligations (CLOs) often have a replenishment feature: if the securitised assets amortise, the unused CLO volume can be replenished (refilled). While this replenishment problem usually is not… Click to show full abstract
Synthetic collateralised loan obligations (CLOs) often have a replenishment feature: if the securitised assets amortise, the unused CLO volume can be replenished (refilled). While this replenishment problem usually is not a linear optimisation problem, we show that under additional assumptions it can be converted into a linear optimisation problem. Thus, the replenishment problem becomes numerically tractable even for a large number of assets.
Keywords:
clo;
replenishment;
linear optimisation;
optimisation problem;
problem
Journal Title: Decisions in Economics and Finance
Year Published: 2017
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Journal Title: Decisions in Economics and Finance
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!