Papers (or books) on pricing cash CLOs
Posted: July 25th, 2012, 11:57 am
I'm looking for papers (or books if there are any) on pricing cash CLOs (collateralized loan obligations). I've done a bit of digging myself and have found the following two:- A top-down model for cash CLO (Li and Zheng, 2010)- Pricing and hedging CLOs with implied factor models (Nedeljkovic et al., 2009)The second one focuses mostly on synthetic CLOs but the methods are supposedly applicable to cash CLOs as well.Does anyone have any other suggestions?