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q-fin.RM2025
Eliciting reference measures of law-invariant functionals
Felix-Benedikt Liebrich, Ruodu Wang
Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measu…
q-fin.RM2025
Rating criteria, risk measures, and risk consistency
Nan Guo, Ruodu Wang, Chenxi Xia +1
Categorical ratings are widely used by investors to screen financial products, such as defaultable securities and investment funds. We model rating criteria as discrete transforms…