Impact of Financial Crisis on the Profitability of Capital Structure Arbitrage in Australia
We evaluate the performance of a convergence style capital structure arbitrage trading strategy using Australian CDS spreads estimated by the Credit Grades model. By comparing a number of volatility inputs, we find that although option-implied volatility inputs produce biased spreads compared to his...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia Press
2016
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/24970/1/IJBF%2012%201%202016%2067%2097.pdf http://repo.uum.edu.my/24970/ http://ijbf.uum.edu.my/index.php/previous-issues/152-the-international-journal-of-banking-and-finance-ijbf-volume-12-no-1-2016 |
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