2 citations · 3 across the 7 of their papers we have counts for
5 papers · 1 filter
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…
Consistent Valuation of Bespoke CDO Tranches
Yadong Li
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is…