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Results for “G5” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 2 · desk corpus 1
arXiv · arXiv q-fin · 2026
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference between the normalized largest eigenvalue and the average pairwise correlation, to quantify changes in market structure. This measure reveals a consistent three-phase pattern across m…
Kundan Mukhia, Imran Ansari, Md. Nurujjaman
arXiv · arXiv q-fin · 2011
In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate interest rate overlay to achieve the same economic effects. In this paper, we have presented a simple generic valuation framewo…
Masaaki Fujii, Akihiko Takahashi
Option Blackboard · 0
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