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Quantitative Finance · Glossaire

Qu'est-ce que « Credit-hedged convertible » ?

Definition 8.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 8 — Convertible Arbitrage

A credit-hedged convertible is a delta-hedged convertible to which the arbitrageur adds credit protection (credit default swaps, Book 2, chapter 23, or a short position in the issuer’s straight bonds) sized to the bond’s sensitivity to the issuer’s credit, so that the position keeps its option value and carry without the default risk.

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