Published November 28, 2022
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Deferred CDO Coupon Payment Valuation Model
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Description
The deferred CDO coupon payment valuation model serves the purpose of valuing the accumulated coupon payments held in a non-interest-bearing reserve account for a CDO trade. It is a part of the valuation model for a non-vanilla CDO structure called “rated equity.”
Notes
https://ia601408.us.archive.org/0/items/quanto-himalaya/QuantoHimalaya.pdf
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DeferredPay.pdf
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