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2 questions
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Calculating PFE of a repo trade
What is the market practice to calculate PFE (Potential Future Exposure) of a repo trade? If we model the rate using Gaussian HJM (and calibrate it using swaptions) and use that in the simulation, ...
- 101
2
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Operational aspects of repo funding trades
It is widely known that repurchase agreements ("repos") are regularly used by market participants as a mean to fund long/short positions in a certain asset, in particular for derivative ...
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