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    Connecting the top-down to the bottom-up: Pricing CDO under a Conditional Survival (CS) model
    13 years 7 months ago
    Connecting the top-down to the bottom-up: Pricing CDO under a Conditional Survival (CS) model
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    In this paper, we use exact simulation to price CDO under a new dynamic model, the Conditional Survival (CS) model, which provided excellent calibration to both iTraxx tranches an...
    Xian Hua Peng, Steven G. Kou
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