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This paper aims to provide a framework for pricing collateralized debt obligations (CDOs) using the Meixner distribution. The Meixner distribution allows for asymmetric dependence structures and possesses properties like fat tails, skewness, and jump components that make it well-suited for credit risk modeling. The paper examines how the Meixner distribution can be applied in both copula and structural approaches to CDO pricing. Using historical CDO prices, the performance of the proposed Meixner-based mode

Author

Michelle Hayes

Language

EN