When Funding Markets Move Credit Markets: Foreign Investors and U.S. CLOs
The authors show that U.S. leveraged credit markets and global dollar funding markets are jointly determined…
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Indexing Autocalls (S&P Dow Jones Indices)
Income-oriented indexing has entered a new phase. What began with relatively straightforward option-writing…
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One Dollar, Many Prices: Dealer-Specific Pricing of Synthetic Dollar Funding (Bank of England)
Does the price of synthetic dollar funding depend on which dealer intermediates the trade? Bank of England…
Has the Correlation Risk Premium Been Competed Away? Evidence from Implied and Realized Correlation, 2006-2026 (Navnoor Bawa Research LLC)
This paper estimates the equity correlation risk premium — the amount by which option-implied correlation exceeds…
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