We introduce the regulatory arbitrage of risk measures, one of the key considerations in choosing a suitable risk … measure to use in banking regulation. A regulatory arbitrage is the amount of capital requirement reduced by splitting a … regulatory arbitrage; dividing risks will not reduce the total capital requirement under a coherent risk measure. However, risk …

Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as … arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …

arbitrage. The main idea in statistical arbitrage is to exploit short-term deviations in returns from a long-term equilibrium …

The practice of merger arbitrage is one of the more popular and profitable strategies employed by many hedge funds. At …. The risk to an individual risk arbitrage investment, then, comes from one specified source: the risk of deal completion … therefore very important to fully understand the nature and magnitude of the risks inherent in merger arbitrage. This paper …