How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Source: risk.net
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The impact of compounding on bond pricing with alternative reference rates
This paper looks at the impact of compounding on zero-coupon bond prices by considering the short rate when it follows a Gaussian diffusion process or a
Secured Overnight Financing Rate Sterling Overnight Interbank Average Stochastic Volatility Ump Diffusion Monte Carlo Simulation Zero Coupon Bonds
Source: risk.net