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        • Andersen Pykhtin Sokol
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        2. Margin Period of Risk

        Andersen Pykhtin Sokol

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        Paper

        This Section documents MPR model presented in the paper “Rethinking Margin Period of Risk” by Leif Andersen (Bank of America Merrill Lynch), Michael Pykhtin (Federal Reserve Board), and Alexander Sokol.

        Full text of the paper may be downloaded from http://papers.ssrn.com/abstract_id=2719964.

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