The risk management implications of using end of day consensus pricing for single name CDS |
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| Authors: | Ronen Tavy Sokolinskiy Oleg Sopranzetti Ben |
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| Affiliation: | 1.Department of Finance and Economics, Rutgers Business School: Newark and New Brunswick, Piscataway, USA
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| Abstract: | Review of Quantitative Finance and Accounting - When markets are opaque, market participants rely to a large extent on end-of-day consensus prices published by service providers; such as in the... |
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