Securitization & Hedge Funds: Collateralized Fund Obligations
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On Pricing Risky Loans and Collateralized Fund Obligations
Loan spreads are analysed for two types of loans. The rst takes losses at maturity only; the second one follows the formulation of CFOs (Collateralized Fund Obligations), with losses registered over the lifetime of the contract. In both cases, the implementation requires the choice of a process for the underlying asset value and the identi cation of the parameters. The parameters of the proces...
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