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Keywords: Static arbitrage
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2022) 30 (2): 74–88.
Published: 10 March 2022
...-denominated comparator of identical seniority, duration, credit risk and issuer. The adherence of the idiosyncratic basis to the no-arbitrage condition is subsequently evaluated through the application of an indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage...
