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CDO tranches & call option
Hi. In the study notes of the assigned reading "Innovations in Credit Risk Transfer: Implications for Financial Stability" by Darrell Duffie (p.27) says Senior CDO tranche is shorting a call option on cash-flow of underlying collateral, while Junior tranche is effectively long a call...- shlo8134
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- call-option cdo-tranche
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- Forum: P2.T6. Credit Risk (25%)