Research overview
An equity total return swap, reconstructed
A reconstruction of an equity total return swap through its economic components: reference-asset performance, financing, cash flows, collateral, counterparty exposure and payoff structure.
Research focus
- Equity total return swaps
- Derivatives
- Financing
- Collateral
- Counterparty risk
- Capital markets
- Financial engineering
Status
Published analysis. This page provides a concise overview of the work and its research domain.