Articles by Wujiang Lou
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.