GARP Digital Library

  0
 


Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
9
Page Range:
194-247
Total Pages:
54
 
 
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$3.78 + 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, non-traditional hedges, reverse hedge, call option hedge, stock hedge with put options, convergence hedges, implied volatility convergence, credit spread convergence, merger and acquisition risk arbitrage trades, reset convertibles (or death spiral convertibles), capital structure hedge, distressed convertible hedge or negative gamma hedge opportunities, negative gamma bankruptcy valuation, negative gamma bull hedge, active rebalancing, hedging mandatory issues, basket hedging equity delta, synthetic worksheet hedge, dividend reduction convertible hedge, trading desk value added, bid-ask spread arbitrage, hot new issues, trade execution, convertible arbitrage take-over risks
 
 
Reading Contents:
9.6 Reset convertibles (or death spiral convertibles)
9.7 Capital structure hedge
9.8 Distressed convertible hedge or negative gamma hedge opportunities
9.8.1 Negative gamma bankruptcy valuation or prediction
9.9 Negative gamma bull hedge
9.9.1 Active rebalancing of the negative gamma hedge
9.9.2 Hedging mandatory issues
9.10 Basket hedging equity delta
9.11 Synthetic worksheet hedge
9.12 Dividend reduction convertible hedge
9.13 Trading desk value added
9.13.1 Bid-ask spread arbitrage
9.13.2 Hot new issues
9.14 Trade execution
9.14.1 Example trade
App. 9.1 Partial listing of companies with multiple convertible issues outstanding as of December 10, 2002
App. 9.2 Convertible arbitrage take-over risks
App. 9.2.1 Take-over risks - an example
 
 
 
 
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.
 



 
   
GARP Digital Library