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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
8
Page Range:
172-193
Total Pages:
22
 
 
Publisher:
Publication Year:
2003
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$4.50
Reading Price:
GARP Member (Non-Affiliate):   US$4.50
 
Affiliate & Non-Member:             US$5.00
 
* Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
 
 
 
To purchase all chapters from this book currently available from GDL, click here.
 
 
Quantitative Level:
Non-Technical
 
 
Keywords:
 
 
Topics Covered:
Convertible arbitrage hedge fund, convertible asset swaps, credit default swaps (CDS), convertible asset swapping mechanics, swap hedge setup, convertible bond credit default swap, credit spread movements, basket credit derivatives, asset swap term sheet, credit default swap term sheet
 
 
Reading Contents:
8.1 Convertible asset swaps - extracting cheap options from investment-grade convertibles
8.2 The mechanics of convertible asset swapping
8.3 Swap hedge setup
8.4 Convertible bond credit default swap - transfer credit risk in a hedge
8.4.1 Credit spread movements
8.4.2 Convertible credit default swap (CDS) example
8.4.3 Hedging credit risk - basket approach
App. 8.1 Asset swap and credit default swap term sheets
 
 
 
 
Book Review:
Convertible arbitrage involves purchasing a portfolio of convertible securities and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, 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, 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.
 



 
   
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