2 papers
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
Choquet rating criteria, risk measures, and risk consistency
Nan Guo, Ruodu Wang, Chenxi Xia +1
Credit ratings are widely used by investors as a screening device. We introduce and study several natural notions of risk consistency that promote prudent investment decisions in t…