So Long BAX Model. You’ve Had A Good Run.

October 3, 2023   |   
Author: Kevin Dribnenki

The Great Financial Crisis of 2008 laid bare the destabilizing potential of basis risk between Canadian Bankers' Acceptance rates and/or Three-Month Canadian Bankers' Acceptance Futures (BAX) and a truly risk free rate. After 15 years and much effort, market inertia has finally been overcome and it is time to replace BAX contracts with the ascendant Three-Month CORRA Futures (CRA) contracts in various models.

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