How Profitable Is Capital Structure Arbitrage?

By Fan Yu. 2006

135 citations recorded by the source corpus.

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Does Simple Pairs Trading Still Work? (2010, methodology): “Finally, we conducted a test of statistical arbitrage formulated by Hogan, Jarrow, Teo, and Warachka (2004), which is also used in a number of trading strategy studies (see, e.g., Yu 2006).”
Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs (2007, background): “Cao, Yu, and Zhong (2005) explore the ability of firm-level option-implied volatility to explain CDS rate changes.”
Are All Credit Default Swap Databases Equal (2013, background): “, Yu, F., and Zhong, Z. (2010). “The information content of option-implied volatility for credit default swap valuation”.”
Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007 (2009, background): “Capital structure arbitrage, which involves taking long and short positions in different instruments of a company’s capital structure; see Yu (2005).”
Regime dependent determinants of credit default swap spreads (2008, background): “Yu (2005) finds that empirical hedge ratios can be completely ineffective during volatile periods.”