When Margin Call Burns Out Liquidity Buffer -- Hedge Fund Ratings and Securities Financing Haircuts
The article explores the difficulties in determining the price and risk of hedge fund securities due to a disconnect between margin call defaults and default probability models.
Featured in No. 49 on 15 May 2024 · 4 days after release · 0 citations today
- Released
- 11 May 2024
- First featured
- No. 49 · 15 May 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4825764
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).