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How profitable is capital structure arbitrage?
The article examines the risk and return of capital structure arbitrage, which exploits the mispricing between a company's credit default swap (CDS) spread and equity price. The analysis uses the Credit Grades benchmark model, a convergence-type trading strategy, and 135,759 daily CDS spreads on 261 North American obligors. At the level of individual trades, substantial losses can occur as a result of the low correlation between the CDS spread and the equity price. An equally weighted portfolio of all trades, however, produced Sharpe ratios similar to those for other fixed-income arbitrage strategies and hedge fund industry benchmarks.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6205 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Virginia: CFA Institute 2006 |
|---|---|
| Edisi | Vol. 62, No. 5, Sep. - Oct., 2006 |
| Subjek | Credit Default Swap (CDS) structural credit risk models convergence trading credit grades model capital structure arbitrage |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 16 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |