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q-fin.RM2026
Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms
Lan Bu, Ning Cai, Chenxi Xia +1
This paper addresses a key challenge in CDO modeling: achieving a perfect fit to market prices across all tranches using a single, consistent model. The existence of such a perfect…
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…