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Search: subject:"bond-CDS basis"
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bond-CDS basis
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Arbitrage
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Credit default swap
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arbitrage
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counterparty risk
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Mai, Jan-Frederik
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Morini, Massimo
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Prampolini, Andrea
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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International journal of theoretical and applied finance
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Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012153067
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2
Risky funding: a unified framework for counterparty and liquidity risk
Morini, Massimo
;
Prampolini, Andrea
-
Volkswirtschaftliche Fakultät, …
-
2010
corresponding to his
bond-CDS
basis
spread, and this regulates which trades are possible in the market. Moreover, we find that the …
Persistent link: https://www.econbiz.de/10008615023
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