Capital structure arbitrage

Παπαδημητράκη, Μαρία

dc.contributor.advisor	Εγγλέζος, Νικόλαος
dc.contributor.author	Παπαδημητράκη, Μαρία
dc.date.accessioned	2018-03-19T10:19:29Z
dc.date.available	2018-03-19T10:19:29Z
dc.date.issued	2018
dc.identifier.uri	https://dione.lib.unipi.gr/xmlui/handle/unipi/11092
dc.format.extent	58	el
dc.language.iso	en	el
dc.publisher	Πανεπιστήμιο Πειραιώς	el
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.title	Capital structure arbitrage	el
dc.type	Master Thesis	el
dc.contributor.department	Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής	el
dc.description.abstractEN	This thesis presents a valuation model of financial derivatives related to securities with probability of default. Specifically, using the Merton model, this thesis studies an empirical (synthetic) valuation of CDS. Furthermore, it proves that the main driver of the pertinent arbitrage strategy should be to trade the CDS against the equity implied volatility and not the stock itself. The analysis shows that the key parameter is volatility. In order to maximize the sensitivity to volatility, the deep out of the money option implied volatilities are proposed. This thesis compares the theoretical price of CDS against its derived synthetic price and shows whether opportunities for arbitrage exist. Additionally, by conducting representative case studies, we describe the strategy we need to follow in order to hedge the volatility risk versus the risk that emerges from exposure to underlying equity itself.	el
dc.contributor.master	Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική Διοικητική	el
dc.subject.keyword	Merton model	el
dc.subject.keyword	Barrier options	el
dc.subject.keyword	Vega Hedge	el
dc.subject.keyword	Credit default swap	el
dc.subject.keyword	Capital structure arbitrage	el
dc.subject.keyword	Option pricing	el
dc.subject.keyword	Implied volatility	el
dc.date.defense	2018-03

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Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management

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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές