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We propose a new Quantization algorithm for the approximation ofinhomogeneous random walks, which are the key terms for the valuation ofCDO-tranches in latent factor models. This approach is based on a dualquantization operator which posses an intrinsic stationarity and thereforeautomatically leads to a second order error bound for the weak approximation.We illustrate the numerical performance of our methods in case of theapproximation of the conditional tranche function of synthetic CDO products anddraw comparisons to the approximations achieved by the saddlepoint method andStein's method.

Dual Quantization for random walks with application to credit derivatives