Papers, wiki, Option Blackboard, encyclopedia, and cards.
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 cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the potential to bring the much needed pricing transparency to the cash CLO markets; and it could also …
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt. Short-term debt can have either a discrete or a more realistic staggered tenor structure. At rollov…
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework produces a testable identity. Under joint no-arbitrage, the credit spread of an issuer expressed over the inflation-rateindexed risk-free curve equals the same issuer's credit spre…
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding costs -- as a complement to SOFR, summarizing its behavior, construction, and loan-pricing implications. AXI aggregates observable unsecured funding transactions across short- and long…
We provide a large-scale empirical audit of DEX routing using 2.98 million WETH-USDC swaps on Ethereum. Comparing realized routes with optimized benchmarks, we measure an average shortfall of 2.02 bps per trade or \$24 million. To attribute losses, we introduce three reproducible optimal benchmarks: a Support-Constrained Optimum (SCO) that evaluates split quality conditional on the pools actually used; a Full-Venue O…
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs. Numerical results come from scripted fixed-seed model runs and deterministic simulators; human-supervised AI agents supported the July 20 evidence-integrity revision through literature retrieval, separately tasked critique, artifa…
In this paper, we develop an open-economy macroeconomic model of a Proof-of-Stake network to analyze nominal token-price dynamics and the systemic effects of speculative capital. We first consider a network populated solely by active utility users, who finance network activity through a steady exogenous inflow of fiat currency. We prove the existence of a unique, globally asymptotically stable steady-state equilibriu…
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
Leveraged Loan Index — Floating-rate corporate credit sensitive to defaults, spreads, and CLO demand.
CLO Issuance — Structured credit supply that absorbs leveraged loans and shapes spread regimes.
CLO Spreads (Fixed Income).
Clock Sync Trading (Systems).
Short Sale Disclosure Regime (Systems).
Position Reporting Threshold (Systems).
Soft Close Capacity (Systems).
Hard Close Capacity (Systems).
MOC Imbalance (Equity).
Closing Cross (Equity).
CLO Equity Tranche (Fixed Income).
CLO AAA Tranche (Fixed Income).
Manager Call CLO (Fixed Income).
Reinvestment Period CLO (Fixed Income).
OC Test CLO (Fixed Income).
IC Test CLO (Fixed Income).
Weighted Average Life CLO (Fixed Income).
Diversity Score CLO (Fixed Income).
MVOC Metric (Fixed Income).
Crypto Liquidation Cascade — Forced closes amplifying moves when leverage clusters breach.
Closing Auction Imbalance — Pre-close buy/sell imbalance that can move the print.
MOC Order Flow (Microstructure).
Fail Closed Gate US (Systems).
Fail Closed Gate Euro Area (Systems).
Fail Closed Gate UK (Systems).
Fail Closed Gate Japan (Systems).
Fail Closed Gate China (Systems).
Fail Closed Gate EM Asia (Systems).
Fail Closed Gate LatAm (Systems).
Fail Closed Gate CEEMEA (Systems).
Fail Closed Gate Canada (Systems).
Fail Closed Gate Australia (Systems).
Fail Closed Gate Nordics (Systems).
Fail Closed Gate ASEAN (Systems).
Fail Closed Gate risk-on (Systems).
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
CLO AAA Tranche (Fixed Income).
CLO Equity Tranche (Fixed Income).
CLO Issuance — Structured credit supply that absorbs leveraged loans and shapes spread regimes.
CLO Spreads (Fixed Income).
CLO Tranche Spread 10Y (Credit).
CLO Tranche Spread 1M (Credit).
CLO Tranche Spread 1Y (Credit).
CLO Tranche Spread 2Y (Credit).
CLO Tranche Spread 3M (Credit).
CLO Tranche Spread 5Y (Credit).
CLO Tranche Spread 6M (Credit).
CLO Tranche Spread 7Y (Credit).
CLO Tranche Spread autos (Credit).
CLO Tranche Spread EM hard (Credit).
CLO Tranche Spread energy (Credit).
CLO Tranche Spread EU HY (Credit).
CLO Tranche Spread EU IG (Credit).
CLO Tranche Spread financials (Credit).
CLO Tranche Spread real estate (Credit).
CLO Tranche Spread telecom (Credit).
CLO Tranche Spread US HY (Credit).
CLO Tranche Spread US IG (Credit).
Clock Sync Trading (Systems).