10. Toward Market-Implied Valuations of Cash-Flow CLO Structures

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Philippos Papadopoulos

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch10

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) Toward Market-Implied Valuations of Cash-Flow CLO Structures, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch10

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • collateralized loan obligations;
  • valuation approach;
  • balance sheet;
  • discounted cash flow;
  • base correlation approach

Summary

This chapter contains sections titled:

  • Introduction

  • Description of the Cash-Flow CLO Structure

  • Description of the Valuation Framework

  • Numerical Examples

  • Summary and Discussion of Open Issues

  • Acknowledgement

  • Notes