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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Dynamic CDO Term Structure Modelling

Workshop: Kick-off-Workshop

Time: Thu, September 11, 2008, 09:30-10:20

Speaker: Damir Filipovic

Abstract

This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs).

Presentation slides (pdf, 163 KB)

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