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London, 6th
- 7th April 2021 Topics Covered ·
Fundamental models
of corporate structure ·
Trading
opportunities suggested by these models ·
Equity derivatives
in capital structure arbitrage ·
Credit derivatives
in capital structure arbitrage ·
Cross market
opportunities and pitfalls ·
Detailed examples
and computer based case studies
Location Central London Conference Suite Practicalities To
book your place or for further details, contact us by email at sales@value-consultants.co.uk . Single places
cost £1,950 plus VAT (Total invoice price: £2,340): discounts are available
for multiple attendees from the same institution. Please
ask about our bespoke in-house courses if you have more than five delegates. Further
details are available on the web at www.value-consultants.co.uk (also see http://www.value-consultants.co.uk/Arbitrage.htm
) The usual Value Consultants booking
conditions and terms of business apply. The number of places available is
strictly limited. Course Outline ·
Key Ideas in Capital Structure Arbitrage ¨
Basic
Concepts ¨
The
Merton model of corporate structure ¨
The
Mechanics of the Model ¨
Consequences
for Trading ¨
Implementations
of the Merton Model ¨
Other
Approaches ·
Understanding Equity Derivatives and Convertible Bond
Structures ¨
Single
stock options ¨
Using
the Volatility Smile ¨
Dividend
Risk and Stock Borrow ¨
Basket
Options and Correlation ¨
Convertible
Bonds, Convertible Asset Swaps and CB Options ¨
Convertible
Arbitrage ·
Credit Derivatives in Capital Structure Arb ¨
Practical
Credit Derivatives ¨
Asset
Swaps, Total Return Swaps, and The Role of Funding ¨
Credit
Events and Documentation Issues ¨
Tranche
Products and the Uses of Equity Tranches ¨
Understanding
Market Drivers ·
Pricing Credit Derivatives ¨
Credit
Spreads, Default Probabilities and Recoveries.
Pitfalls in Pricing Default Swaps ¨
Credit
Spread Migration Models and Pricing Credit Spread Options ¨
Models
of Corporate Structure and Inferred Pricing ·
Cross Market Arbitrage ¨
Why
might an Arbitrage Exist? ¨
Real
World Problems: Understanding them and Avoiding them ¨
Executing
Successful Transactions ¨
Risk
Monitoring and the Causes of P/L Volatility ¨
Typical
Transactions in Detail
"Thank you again for the very useful and informative workshop" - Asst Director Prop Trading - A European Bank "Thank you for the insightful introduction into the CSA concepts, which will be very valuable for my current line of work" - Director, Debt Equity Products, A Far Eastern Bank "Andrew - thanks for all your help during the last 2 days. The course was much enjoyed and was very useful" - Director, Equity Derivatives Trading - A London based Global Investment Bank |
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