We investigate the calibration of a non-linear pricing model to quoted bid-ask prices and show the existence of a solution in a broad class of distortion risk measures, following the frameworks of Cherny and Madan [<italic>Int. J. Theor. Appl. Financ.</italic>, 2010, <bold>13</bold>(8), 1149-1177] and Bannör and Scherer...</italic>

Companies in the same industry sector are usually more correlated than firms in different sectors, as they are similarly affected by macroeconomic effects, political decisions, and consumer trends. Despite the many stock return models taking this fact into account, there are only a few credit...