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Credit index options cannot be priced as simple vanilla options. In this paper we derive the pricing formula using both … replication method and linear annuity mapping. We develop a model-free process to calculate a VIX-like credit volatility index … based on observable credit index options market. We imply all model parameters from market traded data …
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This note reviews some concepts of global liquidity and discusses measurement approaches that have been used by various interlocutors, including at the BIS, by Fund staff, and in academia. Some measures that could be regularly monitored by policy makers are presented
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