Convertible Arbitrage
Convertible Arbitrage

Author: Nick P. Calamos

Publisher: John Wiley & Sons

Published: 2011-01-19

Total Pages: 306

ISBN-13: 1118045661

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Minimize risk and maximize profits with convertible arbitrage Convertible arbitrage involves purchasing a portfolio of convertible securities-generally convertible bonds-and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. Convertible Arbitrage offers a thorough explanation of this unique investment strategy. Filled with in-depth insights from an expert in the field, this comprehensive guide explores a wide range of convertible topics. Readers will be introduced to a variety of models for convertible analysis, "the Greeks," as well as the full range of hedges, including titled and leveraged hedges, as well as swaps, nontraditional hedges, and option hedging. They will also gain a firm understanding of alternative convertible structures, the use of foreign convertibles in hedging, risk management at the portfolio level, and trading and hedging risks. Convertible Arbitrage eliminates any confusion by clearly differentiating convertible arbitrage strategy from other hedging techniques such as long-short equity, merger and acquisition arbitrage, and fixed-income arbitrage. Nick Calamos (Naperville, IL) oversees research and portfolio management for Calamos Asset Management, Inc. Since 1983 his experience has centered on convertible securities investment. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University.

Convertible Arbitrage
Convertible Arbitrage

Author: Nick P. Calamos

Publisher: John Wiley & Sons

Published: 2003-07-24

Total Pages: 310

ISBN-13: 0471423610

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"Convertible Arbitrage" ist ein praxisorientierter und umfassender Ratgeber, der sich mit einer interessanten Investmentstrategie auseinandersetzt - der 'Convertible Arbitrage'. Bei dieser Strategie geht es darum, ein Portfolio aus wandelbaren Wertpapieren anzulegen - in der Regel Wandelanleihen -, wobei das Risiko teilweise dadurch abgesichert wird, dass die zugrundeliegende Stammaktie leerverkauft wird. Diese Strategie erfreut sich wachsender Beliebtheit und ist insbesondere in Zeiten hoher Marktvolatilität von Nutzen, denn sie ermöglicht Finanzexperten eine Steigerung der Rendite bei einer Verringerung des Risikos. "Convertible Arbitrage" erläutert diese einzigartige Investmentstrategie fundiert und detailliert. Mit einer Fülle von Experten-Informationen. Autor Nick Calamos ist ein anerkannter Fachmann auf diesem Gebiet. Er ist regelmäßig auf CNBC zu sehen und wird häufig von Fachzeitschriften interviewt.

Short Selling Activities and Convertible Bond Arbitrage
Short Selling Activities and Convertible Bond Arbitrage

Author: Sebastian P. Werner

Publisher: Springer Science & Business Media

Published: 2010-12-01

Total Pages: 269

ISBN-13: 3834960039

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Sebastian Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a significant short position in the underlying stock of a long convertible bond position for hedging purposes. He provides insightful and new observations of the significant difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation-based short selling activities.

Risk and Return in Convertible Arbitrage
Risk and Return in Convertible Arbitrage

Author: Vikas Agarwal

Publisher:

Published: 2011

Total Pages: 57

ISBN-13:

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In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in convertible bonds (ldquo;CBsrdquo;) while hedging the equity risk alone explains a substantial amount of these funds' return dynamics. In addition, we highlight the importance of non-price variables such as extreme market-wide events and the supply of CBs on performance. Out-of-sample tests provide corroborative evidence on our model's predictions. At a more micro level, larger funds appear to be less dependent on directional exposure to CBs and more active in shorting stocks to hedge their exposure than smaller funds. They are also more vulnerable to supply shocks in the CB market. These findings are consistent with economies of scale that large funds enjoy in accessing the stock loan market. However, the friction involved in adjusting the stock of risk capital managed by a large fund can negatively impact performance when the supply of CBs declines. Taken together, our findings are consistent with convertible arbitrageurs collectively being rewarded for playing an intermediation role of funding CB issuers whilst distributing part of the equity risk of CBs to the equity market.

Arbitrage
Arbitrage

Author: Fouad Sabry

Publisher: One Billion Knowledgeable

Published: 2024-02-02

Total Pages: 320

ISBN-13:

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What is Arbitrage In the fields of economics and finance, arbitrage refers to the technique of taking advantage of a discrepancy in pricing in two or more markets by striking a combination of matching agreements in order to capitalize on the difference. The profit results from the difference between the market prices at which the unit is traded. A transaction is considered to be an arbitrage when it is employed by academics. An arbitrage is a transaction that does not include a negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state. To put it another way, it is the potential of a risk-free profit after consideration of transaction costs. When there is the prospect of quickly purchasing something at a low price and then selling it at a higher price, for instance, this is an example of an arbitrage opportunity. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Arbitrage Chapter 2: Derivative (finance) Chapter 3: Long-Term Capital Management Chapter 4: Bond (finance) Chapter 5: Futures contract Chapter 6: Equity derivative Chapter 7: Hedge (finance) Chapter 8: Convertible bond Chapter 9: Fixed income Chapter 10: Rational pricing Chapter 11: Convertible security Chapter 12: Corporate bond Chapter 13: Risk arbitrage Chapter 14: Convertible arbitrage Chapter 15: Fixed income arbitrage Chapter 16: Dual-listed company Chapter 17: Limits to arbitrage Chapter 18: Big Mac Index Chapter 19: Reverse convertible securities Chapter 20: Replicating portfolio Chapter 21: Convergence trade (II) Answering the public top questions about arbitrage. (III) Real world examples for the usage of arbitrage in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Arbitrage.

The Rise and Demise of the Convertible Arbitrage Strategy
The Rise and Demise of the Convertible Arbitrage Strategy

Author: Igor Loncarski

Publisher:

Published: 2009

Total Pages: 25

ISBN-13:

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This paper analyzes convertible arbitrage, one of the most successful hedge fund strategies. The aim of the strategy is to exploit underpricing of convertible bonds by taking a long position in a convertible and a short position in the underlying asset. We find that convertible bonds are underpriced at the issuance dates. At the same time, short sales of underlying equity significantly increase. Both effects are stronger and more persistent for equity-like than for debt-like convertibles. Furthermore, we find that short sales pressures negatively affect stock returns around announcement and issuance dates of convertibles. In our opinion, this contributed to the shift towards issuing more debt-like convertibles in recent years, which in turn substantially lowered the returns from convertible arbitrage.

Managing Hedge Fund Risk and Financing
Managing Hedge Fund Risk and Financing

Author: David P. Belmont

Publisher: John Wiley & Sons

Published: 2011-09-13

Total Pages: 400

ISBN-13: 0470827262

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The ultimate guide to dealing with hedge fund risk in a post-Great Recession world Hedge funds have been faced with a variety of new challenges as a result of the ongoing financial crisis. The simultaneous collapse of major financial institutions that were their trading counterparties and service providers, fundamental and systemic increases in market volatility and illiquidity, and unrelenting demands from investors to redeem their hedge fund investments have conspired to make the climate for hedge funds extremely uncomfortable. As a result, many funds have failed or been forced to close due to poor performance. Managing Hedge Fund Risk and Financing: Adapting to a New Era brings together the many lessons learned from the recent crisis. Advising hedge fund managers and CFOs on how to manage the risk of their investment strategies and structure relationships to best insulate their firms and investors from the failures of financial counterparties, the book looks in detail at the various methodologies for managing hedge fund market, credit, and operational risks depending on the hedge fund's investment strategy. Also covering best practice ISDA, Prime Brokerage, Fee and Margin Lock Up, and including tips for Committed Facility lending contracts, the book includes everything you need to know to learn from the events of the past to inform your future hedge fund dealings. Shows how to manage hedge fund risk through the application of financial risk modelling and measurement techniques as well as the structuring of financial relationships with investors, regulators, creditors, and trading counterparties Written by a global finance expert, David Belmont, who worked closely with hedge fund clients during the crisis and experienced first hand what works Explains how to profit from the financial crisis In the wake of the Financial Crisis there have been calls for more stringent management of hedge fund risk, and this timely book offers comprehensive guidelines for CFOs looking to ensure world-class levels of corporate governance.

The Handbook of Fixed Income Securities, Chapter 60 - Convertible Securities and Their Valuation
The Handbook of Fixed Income Securities, Chapter 60 - Convertible Securities and Their Valuation

Author: Frank Fabozzi

Publisher: McGraw Hill Professional

Published: 2005-04-15

Total Pages: 53

ISBN-13: 0071715509

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From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

Warren Buffett and the Art of Stock Arbitrage
Warren Buffett and the Art of Stock Arbitrage

Author: Mary Buffett

Publisher: Simon and Schuster

Published: 2011-01-06

Total Pages: 136

ISBN-13: 0857201956

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Give a man a fish and he eats for a day. Teach him to arbitrage, and he will eat for a lifetime' Warren Buffett Warren Buffett and the Art of the Stock Arbitrageis the first book to explore the secret world of Buffett's arbitrage and special situations investing. Long considered one of the most powerful and profitable of Buffett's investment operations, but the least understood, these special types of investments have been the edge that has made Warren Buffett the world's greatest investor. This book examines Buffett's special brand of arbitrage investing,which involves taking advantage of short term price discrepancies that often occur when one company offers to buy another companyary Buffett and David Clark, the authors of four best-selling books on Warren Buffett's investment methods, take the reader deep into the world of Buffett's arbitrage and special situation operations, giving us his strategies, his equations for determining value, and dozens of examples of his investments in this very lucrative segment of Buffett's investment operations. They offer detailed analysis and explanations of Buffett's arbitrage and special situations operations and techniques for the first time ever.