Statistical arbitrage with default and collateral

DOI10.1016/J.ECONLET.2010.04.015zbMATH Open1232.91265OpenAlexW2085158429MaRDI QIDQ991350FDOQ991350

Authors: José Fajardo, Ana Lacerda 

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

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zbMATH Keywords

collateraldefaultstatistical arbitrage

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Title not available (Why is that?)
• Endogenous collateral
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
• Collateral Avoids Ponzi Schemes in Incomplete Markets
• Collateral once again
• A note on arbitrage and exogenous collateral

Cited In (4)

• Title not available (Why is that?)
• Statistical arbitrage under the efficient market hypothesis
• Statistical arbitrage in jump-diffusion models with compound Poisson processes
• Behavioral arbitrage with collateral and uncertain deliveries

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