From the ingredients listed, knead a dough, divide it in 2 equal-sized balls and 1 smaller one for forming the center of the round loaf.
Divide each of the 2 equal-sized balls into 2 (for a total of 4 identical balls). Spread out 2 of them into rectangular sheets, butter them and sprinkle with processed cheese and a little feta cheese. Roll them up into 2 rolls.
Spread out 2 more sheets from the other 2 and place the 2 rolls in their middles. Make thin cuts on the sides, then use the resulting strips to wrap them over the roll in an interwoven pattern.
Place the resulting weaves in a circle in an oven dish with baking paper. Roll out a thin sheet from the smaller ball, smear it with butter and wrap it in a thin roll. Cut it in 2 and twist it. Place in the middle of the circle of weaves. Smear the loaf with egg yolk, a little yoghurt and oil and bake in a preheated oven until ready.