CLO replenishment regarded as linear optimisation problem
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DOI: 10.1007/s10203-017-0194-8
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… read more here.
Keywords: clo; replenishment; linear optimisation; optimisation problem ... See more keywords