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Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman and Hall/CRC Financial Mathematics Series) Hardcover – September 29, 2006
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For anyone who is interested in how CDOs or other instruments linked to baskets of credits are modeled, this book is essential reading. ....the book is a goldmine. If you are interested in how correlation products are modeled in practice, I can't imagine you not reading it. There is no other resource like it
the book is unique. Read it.
--Glyn A. Holton, Contingency Analysis
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Good book to read cover to cover.