Poisson approximation for locally dependent CDO
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DOI: 10.1080/03610926.2020.1759638
Abstract: Abstract A collateralized debt obligation (CDO) is a type of structured asset-backed security. The assets are pooled together and divided into tranches to be sold to investors. Each tranche has a substantially different credit quality… read more here.
Keywords: poisson approximation; cdo; locally dependent; approximation locally ... See more keywords