CLO replenishment regarded as linear optimisation problem

Claas Becker ()
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Claas Becker: Hochschule RheinMain Studiengang Angewandte Mathematik

Decisions in Economics and Finance, 2017, vol. 40, issue 1, No 3, 53-62

Abstract: 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: Collateralised loan obligation; Replenishment; Linear optimisation; 90C90; 90C05 (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10203-017-0194-8

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