Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage

In a naked credit default swap (CDS) position a party pays an income stream to a seller of protection to swap away default risk on an underlying defaultable security without actually holding this reference instrument. Using mark to market returns on a large cross section of CDS positions, held indep...

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Bibliographic Details
Main Authors: Giovanni Calice, Jing Chen, Julian M. Williams
Format: Default Article
Published: 2013
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Capital Structure Arbitrage
Credit Default Swaps
Portfolio Management
Large Scale Covariance Estimation
Portfolio Optimisation
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/24211
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https://hdl.handle.net/2134/24211

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