Capital structure arbitrage master thesis on risk

Especially statistical arbitrage is explained in further detail and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is so often used in daily option trading, derivate pricing and risk management.

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The App for one-to-one volunteerism. From idea generation to fundraising", Advisor: Marianna Brunetti Febo Angelo W.Master in Finance and Banking UPF Course Descriptions Olin Foundation Courses FIN B62 Introduction to Finance and capital structure analysis in the context of real world implications.

capital structure arbitrage master thesis on risk

4 Credits. 5 UPF Spring Deriviatives and Risk Management Master Thesis Your Master Thesis is a significant component of your learning and production.

In general, capital structure arbitrage strategies can be viewed as an example of the interaction between market risk and credit risk, which often leads to an analysis of the relationship between the credit spreads and its proxy credit default swaps (CDS), the .

This thesis analyzes the changes in the asset allocation among university endowments mainly in the USA and Canada, assesses the characteristics of the asset classes and examines the performance of policy portfolios representing the various asset allocation strategies applied by university.

capital structure arbitrage master thesis on risk

Capital Structure Arbitrage Why does Capital Structure Arbitrage exist? Debt should be priced “fairly” to reflect the true state of the company. There is no fair market valuation of most debt instruments. Furthermore, there is no “correct” market valuation of a company’s assets.

Capital Structure Arbitrage Ričardas Visockis ANR: MSc Investment Analysis UvT Master Thesis Supervisor: Joost Driessen Date: /04/28 Abstract This paper examines the risk and return of the so-called “capital structure arbitrage”, which .

This thesis examines possible e ects of stricter capital regulations on banks. Following the history of Basel Accords, the focus of analysis lies on capital supervision and control. An issue for controversial discussions among bankers and academics, Basel III is to be implemented in the coming years as a response to the last nancial crisis.

Evaluation of Capital Structure Arbitrage in the Equity-Credit Markets