Essays about: "Capital Structure Arbitrage"

Found 3 essays containing the words Capital Structure Arbitrage.


    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Umeå universitet/Handelshögskolan vid Umeå universitet (USBE)Företagsekonomi

    Author : Serkalem Tilahun Basazinew; Aliaksandra Vashkevich; [2013]
    Keywords : sovereign credit risk; credit default swap; stock index; Merton model; price discovery; capital structure arbitrage; emerging market.;

    Abstract : When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. READ MORE

  2. 2. Financial innovation in the public real estate market : How to exploit arbitrage opportunities in public real estate pricing due to investment approach differences between the real estate market and the capital market

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Jacob Gejler; [2013]
    Keywords : Financial Innovation; Public Real Estate; Securitization; Asset Backed Securities;

    Abstract : As the stock market is volatile and often short-term, there is a high demand for safe investments outside the stock market and institutional investors like pension funds, insurance companies and asset managers are increasingly searching for low-risk investments that can deliver safe returns. Alternative investments, like real estate, are a popular way to invest institutional capital. READ MORE

  3. 3. Trading in the Credit Derivatives market with equity-based Credit Default Swap spreads

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Martin Nilsson; Jakob Palmstierna; [2007]
    Keywords : credit default swap; Basel II; Capital Structure Arbitrage; Probability of Default; equity-based modelling; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This thesis gives an introduction to BASEL II and hence a motivation for the use of credit derivatives in general and Credit Default Swaps in particular. We develope (from Atlan and Leblanc (2005) and Bengtsson and Bjurhult (2006)) a model to price the CDS contracts and use this in a trading strategy - trying to find risk arbitrage. READ MORE