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| CDO Loss Term-structure Expansions in a Fatal-Shock Framework by Laurent Veilex of Credit-Suisse April 2008 Abstract: We present a numerical expansion of the forward loss of CDO tranches in the case of fatal-Shock models (also called Marshall- Olkin). The method is very fast and can be compared with Saddle point and Recursion methods for factor copulas. The benefit of the framework is to allow a term structure of spreads and correlation with a natural understanding of the correlation structure. Books Referenced in this paper: (what is this?)
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