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It is very well known that default is a real and important fact in the economy. One way to get protection against default is to require collateral, as happens in the Collateralized Mortgages Obligations market (CMO). In the literature, several models have been suggested in order to price claims which are subject to default, i.e., the possibility that sellers of claims will not honor their obligations. Among these models we have the ones that cover the possibility of default by demanding collateral.
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