Masterclass with Deutsche Bank: Long or short in CDOs - The second of our articles on synthetic CDOs and basket default swap pricing is an investigation into the sensitivity of tranched CDO pricing to correlation and recovery rate assumptions.
Year of publication: |
2002
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Authors: | Boscher, Hans ; Ward, Ian |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 6, p. 125-130
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Saved in:
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