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portada Capital Structure Arbitrage
Type
Physical Book
Publisher
Author
Language
English
Pages
308
Format
Paperback
ISBN13
9798896655251

Capital Structure Arbitrage

Marcus T. Whitfield (Author) · NobleTrex Press · Paperback

Capital Structure Arbitrage - Marcus T. Whitfield

New Book Imported to South Africa
Delivery: 10 Nov - 18 Nov Shipping: 5 to 6 business days.
R 592
R 592

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Synopsis "Capital Structure Arbitrage"

Capital structure arbitrage sits at the intersection of credit, equity, and derivatives, where the most interesting opportunities often appear when those markets disagree. This book is written for quantitative traders, risk managers, and advanced analysts who want a rigorous framework for identifying and trading mispricings between CDS spreads and equity options. It treats the firm’s capital structure as a unified system and shows how relative-value ideas become executable trades.At the core of the book is the Merton structural model and its practical extensions, used to translate equity and option information into model-implied credit risk and compare it with observed CDS pricing. Readers learn the mechanics of CDS valuation, hazard rates, survival curves, option surfaces, asset-value and asset-volatility inference, and the design of robust mispricing signals. The book then moves from signal generation to position construction, hedge ratios, P&L attribution, scenario analysis, funding and liquidity constraints, and day-to-day risk control.What distinguishes this guide is its production-minded perspective. It does not stop at elegant theory: it addresses data engineering, calibration stability, market conventions, execution frictions, model risk, and the historical episodes in which convergence logic failed. The result is a disciplined roadmap for building, testing, and managing credit-equity relative-value strategies in real markets. Read more

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The book is written in English.

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The binding of this edition is Paperback.

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