Edmonton, Alberta T6G 2G1
University of Alberta - Department of Mathematical and Statistical Sciences
benchmark manipulation, dealer-client agency conflict, front-running, principal trading, volume-weighted average price (VWAP)
systemic risk, credit risk, mixed equity-credit strategies, calibration
Over-the-counter markets, Conterparty concentration, Counterparty risk, Negative externalities
autocorrelation, credit risk, latent asset return correlation, method of moments
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3141168.pdf
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autocorrelation, credit risk, latent asset return correlation, method of moments (MoM), bias correction.
Optimal trade execution, Hong Kong Exchange, median benchmark, algorithmic trading
benchmark stability, closing auction, volume weighted average price, VWAP
credit risk, risk modelling, IFRS 9, expected credit loss, early recognition, income volatility
principal agent problems, optimal contracts, accident risk, moral hazard
agency conflict, dealer-client relationship, principal trading, price impact
digital currency, payment systems, over-the-counter markets, stablecoins, central bank digital currency
risk attribution; risk allocation; credit risk; Euler principle; risk factors
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: MAFI.pdf
optimal trade execution, VWAP, HJB equation, gamma bridge
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