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…
OPIN and the Cross Section of Equity Option Returns (Chen et al.)
The authors construct a probability of informed trading measure for equity options, OPIN, using signed trading…
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