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Valuing tranches of synthetic CDOs

In the second of this series of Class Notes articles, Charles Smithson and Neil Pearson consider the thorny issue of collateralised debt obligation (CDO) valuation. In the first of a two-part article (the second will be published in February 2008), they…

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CCDS unchained?

In October, David Rowe argued that contingent credit default swaps offered only limited potential for active counterparty credit risk management. The convergence of several factors could change that

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