Search Results for author: Wujiang Lou

Found 4 papers, 0 papers with code

Securities Lending Haircuts and Indemnification Pricing

no code implementations25 Nov 2021 Wujiang Lou

Securities borrowing and lending are critical to proper functioning of securities markets.

Derivatives Discounting Explained

no code implementations20 Feb 2020 Wujiang Lou

Derivative pricing is about cash flow discounting at the riskfree rate.

The Fair Basis: Funding and capital in the reduced form framework

no code implementations20 Feb 2020 Wujiang Lou

A negative basis trade enters a long bond position and buys protection on the issuer of the bond through credit default swap (CDS), aiming at arbitrage profit due to the bond-CDS basis.

Position

Repo Haircuts and Economic Capital: A Theory of Repo Pricing

no code implementations19 Apr 2016 Wujiang Lou

A repurchase agreement lets investors borrow cash to buy securities.

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