Statistical arbitrage with default and collateral

DOI10.1016/J.ECONLET.2010.04.015zbMath1232.91265OpenAlexW2085158429MaRDI QIDQ991350

Ana Lacerda, José Fajardo

Publication date: 7 September 2010

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp200808.pdf

zbMATH Keywords

collateraldefaultstatistical arbitrage

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Unnamed Item
• Collateral once again
• Endogenous collateral
• A note on arbitrage and exogenous collateral
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
• Collateral Avoids Ponzi Schemes in Incomplete Markets

This page was built for publication: Statistical arbitrage with default and collateral