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...

The paper investigates pricing issues in a dyadic supply chain, in which a core supplier sells products through a fair-minded retailer. The retailer is fair-minded and has an ability of self-persuasion as well. If the retailer faces advantageous inequality, though he does not deserve these extra...

This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known flaws in the current standard pricing method of base correlation mapping. This method assigns a...