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Collateral margining in arbitrage-free counterparty valuation adjustment including rehypotecation and netting. working paper... We then specialize our analysis to interest-rate swaps as underlying portfolio, and allow for mutual dependences between the default times of the investor and the counterparty and the underlying portfolio risk factors....
général - core.ac.uk - PDF: arxiv.org
Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting...documentation.We then specialize our analysis to interest-rate swaps as underlying portfolio,and allow for mutual dependences between the default times of the investor andthe counterparty and the underlying portfolio risk factors....
 PDF: arxiv.org
Liquidity clienteles, correlated demand and excess comovement of etf returnsThis study shows that return differences between Exchange-Traded Funds and their underlying portfolio Net Asset Values – which contain no fundamental risk – comove excessively across ETFs....
Multi-factor risk-return relationships... The first relationship holds if the underlying portfolio lies on the expected return-standard deviation efficient frontier, the second is valid when the underlying portfolio lies inside the efficient frontier and...

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