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Cessation of activity mid-December is an opportunity to switch off… and let the mind wander
3 years ago
Welshcake is grateful for a lull in credit markets. The downtime has inspired him to dream up a CLO play -
Measuring portfolio counterparty risk
9 years ago
Swaps referencing large credit portfolios present a particular problem when firms attempt to measure their counterparty risk. Agostino Capponi presents a model that could help
2 results found Showing page 1 of 1
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