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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
331 views
Correlation skew mapping
What methods can be used to map the correlation skew of a credit index on a bespoke CDO portfolio?
