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20132026
most citedWeighted estimation of the dependence function for an extreme-value distribution

5 citations · 5 across the 4 of their papers we have counts for

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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…