CLO replenishment regarded as linear optimisation problem

DOI10.1007/S10203-017-0194-8zbMath1398.91633OpenAlexW2737588228MaRDI QIDQ1693841

Claas Becker

Publication date: 31 January 2018

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-017-0194-8

zbMATH Keywords

replenishmentcollateralised loan obligationlinear optimisation

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Credit risk (91G40)

Cites Work

• Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao
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