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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Capital Structure Arbitrage |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Date | 2011 |
| Zusammenfassung | This thesis analyzes the pro tability of a capital structure arbitrage strategy based on the CreditGrades model. In comparison to the relevant existing litterature, we take into account the market CDS bid-ask spread in the pro t calculation and implement the strategy to the American and the European market. We also propose to maximize the return of the strategy by optimizing some parameters such as the strategy entry or exit values. We nd positive returns in di erent samples but a large proportion of the pro ts are realized during the crisis (2008-2009 in our samples). The bid-ask spread has signi cant impacts on pro tability and makes the strategy less attractive in quiet markets, when the pro t per position is smaller. |
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