  In this paper, we develop Stein's method for binomial approximation using the
stop-loss metric that allows one to obtain a bound on the error term between
the expectation of call functions. We obtain the results for a locally
dependent collateralized debt obligation (CDO), under certain conditions on
moments. The results are also exemplified for an independent CDO. Finally, it
is shown that our bounds are sharper than the existing bounds.
