The Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets

Author:

Sushko Vladyslav,Borio Claudio E. V.,McCauley Robert N.,McGuire Patrick

Publisher

Elsevier BV

Reference47 articles.

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5. CVA Computation for Counterparty Risk Assessment in Credit Portfolios;S Assefa;Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity,2009

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