Case A: To extract cheap volatility in Duke Energy convertible bonds, Mark Punt, a convertible arbitrageur at KBC AIM, purchases the bonds and delta hedges them with a short position in the company's shares. To manage the credit risk of his long convertible bond position, Mark faces a choice of hedging with CDS, shares of the company or out-of-the-money puts on the company's stock. Key to his hedging strategy is an understanding of the observed negative correlation between credit spreads and share prices for Duke Energy.

【書誌情報】

ページ数：14ページ

サイズ：A4

商品番号：HBSP-INS638

発行日：2004/10/1

登録日：2015/3/27