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perspective of global liquidity. The CRT market is enormously growing and exhibits major structural shifts in terms of buyers and … sellers of protection. I try to address these issues from an options perspective by suggesting that liquidity providing can be … per se, as often claimed, which causes liquidity related systemic risk, but rather the potential coordination failures of …
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Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be higher during the financial crisis in 2008. Increased bond...
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