-
CLO Total Return Swap
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Capital assets pricing model, Risk management, Corporations--Valuation, Derivative securities
- Item Type:
- Report
- Tag(s):
- CLO, devative pricing, Swap Model
- Permanent URL:
- https://doi.org/10.17613/16bs-e628
- Abstract:
- A pricing model was developed for pricing a total return swap between two parties. Here party A receives LIBOR plus a spread, but pays out the equity dividends arising from a collateralized loan obligation (CLO).
- Notes:
- https://www.researchgate.net/profile/Tim-Xiao
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- All-Rights-Granted
clotrs.pdf