leading to a full risk-neutral calibration. Subsequently, a new technique for identifying and hedging capital structure … arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure …

leading to a full risk-neutral calibration. Subsequently, a new technique for identifying and hedging capital structure … arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … highlights the issue of capital allocation. Constructing weekly return indices of capital structure arbitrage, we find that no …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … highlights the issue of capital allocation. Constructing weekly return indices of capital structure arbitrage, we find that no …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … highlights the issue of capital allocation. Constructing weekly return indices of capital structure arbitrage, we find that no …

the performance of capital structure arbitrage. In the paper, first of all, we predict the default probability for each …