Published December 1, 2022
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Variable Maturity GiantFirstLoss Trade Valuation
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A variable maturity GiantFirstLoss trade has a non-vanilla collateral debt obligation (CDO) structure, in which the maturities of the obligors in the underlying collateral pool can be different from the trade maturity.
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https://ia904705.us.archive.org/20/items/hw-vol/HwVol.pdf
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VariMatGiantFirstLoss.pdf
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