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Quantitative Finance · Glossaire

Qu'est-ce que « Capital-structure arbitrage » ?

Definition 14.10 Rates, Credit, XVA and Risk · Chapitre 14 — Structural Credit Models

Capital-structure arbitrage trades one instrument of a firm’s capital structure against another (default swaps or bonds against equity or equity options) when their prices disagree with a structural model, hedging with the model’s sensitivity of one to the other: sell protection and short equity when the market spread is above the model’s, buy protection and buy equity when it is below.

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