The cdo tag has no wiki summary.
6
votes
3answers
311 views
Understanding CDOs
I watched every documentary on the financial crisis and CDOs, tried to understand Wikipedia etc.. but still not getting the full picture as examples seem to be limited (or complicated).
Say ...
4
votes
1answer
147 views
Any example code implementing the Shelton CDO 'Back To Normal' Paper?
I'm having a hard time getting my expected loss calculations to tie out with the standard recursion method when implementing the proxy distribution algorithm described by the Back To Normal CDO paper ...
6
votes
1answer
332 views
Correlation skew mapping
What methods can be used to map the correlation skew of a credit index on a bespoke CDO portfolio?
