Credit & Market Risk Arbitrage - Tapa blanda

Credit & Market Risk Arbitrage draws from academic research and practitioner insight to provide a framework within which to understand the interplay of credit and market risk. It qualifies and quantifies both these risks and explains their relationship in simple to understand terms - without compromising on rigor. This book provides a theoretical, practical and empirical basis to analyze the relationships between credit spreads, credit default swaps, implied equity volatility and leverage. This approach can be used to arbitrage mispricing that often arises between the different layers of a company's capital structure. To bridge the gap between theory and practice it also presents empirical evidence of key capital structure relationships.