摘要翻译：
我们提出了一个自上而下的现金CLO模型。该模型可以在同一笔交易中和不同交易中对现金CLO部分进行一致的定价。也可以定义和计算现金CLO部分的有意义的风险度量。该方法自洽，易于实现，计算效率高。它有潜力为现金CLO市场带来急需的定价透明度；同时也可以大大提高现金工具的风险管理水平。
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英文标题：
《A Top-down Model for Cash CLO》
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作者：
Yadong Li and Ziyu Zheng
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  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 also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the potential to bring the much needed pricing transparency to the cash CLO markets; and it could also greatly improve the risk management of cash instruments.
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PDF链接：
https://arxiv.org/pdf/1004.2865