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Does default risk rule out covered interest arbitrage?
This dissertation investigates how the default risk of European banks hampers their ability to exploit the basis in international interest rate markets. One of the reasons deviation from the covered interest parity (CIP) condition persists is the cost borne from the added cost of borrowing due to th...
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| Format: | Thesis |
| Language: | English English |
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Department of Finance and Tax
2026
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