Consistent Valuation of Bespoke CDO Tranches
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- Igor Halperin, 2009. "Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives," Papers 0910.2696, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CMP-2010-04-24 (Computational Economics)
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