We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …

the foreign exchange (FX) swap market predicts that shortage of global arbitrage capital (GAC), by making the FX swap … cross-currency basis. We use novel daily data on Israeli IIs’ and global banks’ FX swap flows to test this prediction within …

Building blocks -- It's dilemma -- Stochastic differential equations -- The factor model approach to arbitrage pricing …