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Risk and Valuation of Collateralized Debt Obligations
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Journal Article
Risk and Valuation of Collateralized Debt Obligations
2001
Overview
In this discussion of risk analysis and market valuation of collateralized debt obligations, we illustrate the effects of correlation and prioritization on valuation and discuss the \"diversity score\" (a measure of the risk of the CDO collateral pool that has been used for CDO risk analysis by rating agencies) in a simple jump diffusion setting for correlated default intensities.
