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Cap-Arb April 2021




An Introduction to




Capital Structure Arbitrage is one of the most exciting areas in contemporary capital markets.  To exploit these opportunities, a good understanding is needed of equity derivative, credit derivatives, and their relationship via a model of corporate structure.  This course provides a practical introduction to this rewarding type of arbitrage trading, delivered by experienced and well-qualified market professionals in a highly interactive and practical manner.

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 including Equity Derivatives vs. Credit Derivatives and hybrid trades such as Convertible Bonds and Asset Swapped Structures such as ASCOT

  • Extensive hands-on examples using spreadsheets and real market data



Central London Conference Suite


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 Equity Puts vs. CDS, CBs vs. Equity Puts & CDS, Senior / Sub Arb, ASCOT vs. CDS & Equity Puts etc


Comments from the recent course:

"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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Last modified: January 25, 2021