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CDO Loss Termucture Expansions in a Fatal-Shock Framework

by Laurent Veilex of Credit-Suisse

April 2008

Abstract: We present a numerical expansion of the forward loss of CDO tranches in the case of fatal-Shock models (also called Marshall- Olkin). The method is very fast and can be compared with Saddle point and Recursion methods for factor copulas. The benefit of the framework is to allow a term structure of spreads and correlation with a natural understanding of the correlation structure.

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