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Keywords: CBO
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (1): 113–142.
Published: 31 May 2002
...In Joon Kim; Suk Joon Byun; Yuen Jung Park This paper presents a numerical procedure for pricing collateralized bond obligations (CBO) and analyze the impact of default correlations for the prices of collateralized bond obligations. Specifically, we adopt default correlation model of Zhou (2001...
