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Damir Filipovic
Information about the author Damir Filipovic will soon be added to the site.
Found
2 papers
in total
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Linear-Rational Term Structure Models
2017
We introduce the class of linear‐rational term structure models in which the...
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
2016
We show that partial versus full multilateral netting of interbank liabilities...
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