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Implied Correlation of CDO Index Tranche
2022
Zenodo
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The implied correlations for the CDO index tranches are the correlations backed out by the market quoted prices using CDO valuation models available in the credit library, namely, the Poisson model and the Normal Copula model.
doi:10.5281/zenodo.7378580
fatcat:yaaljo2ivbdk5aqumkbyentmya