Ewerhart, Christian (contributor); Cassola, Nuno (contributor) - 2006
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+49 69 1344 … represented by a
measure with density x(a) ≥ 0 (cf. Billingsley [9], p. 213). We assume that
thebank’scollateralissufficient to … cover the necessary funding. As haircuts
are not considered in the basic set-up, this is tantamount to the constraint
Z
A
x …