2 citations · 3 across the 7 of their papers we have counts for
7 papers
Reduced Form Capital Optimization
Yadong Li, Dimitri Offengenden, Jan Burgy
We formulate banks' capital optimization problem as a classic mean variance optimization, by leveraging an accurate linear approximation to the Shapely or Constrained Aumann-Shaple…
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
Jinguo Gong, Yadong Li, Liang Peng +1
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value t…
The Impossible Trio in CDO Modeling
Emmanuel Schertzer, Yadong Li, Umer Khan
We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk c…
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Yadong Li
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specifi…
A Top-down Model for Cash CLO
Yadong Li, Ziyu Zheng
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cas…
Valuation Bound of Tranche Options
Yadong Li, Ariye Shater
We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distrib…