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dc.contributor.authorJarrow, R.A.*
dc.contributor.authorLi, H.*
dc.contributor.authorYe, Xiaoxia*
dc.date.accessioned2017-12-22T08:58:26Z
dc.date.available2017-12-22T08:58:26Z
dc.date.issued2016-08-01
dc.identifier.citationJarrow RA, Li H and Ye X (2016) Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads.en_US
dc.identifier.urihttp://hdl.handle.net/10454/14323
dc.descriptionNoen_US
dc.description.abstractBased on a reduced-form model of credit risk, we explore statistical arbitrage opportunities in the CDS spreads of North American companies. Specifically, we develop a trading strategy using the model to trade market-neutral portfolios while controlling for realistic transaction costs. Empirical results show that our arbitrage strategy is of significant economic value, and also cast doubt on the efficiency of the CDS market. The aggregate returns of the trading strategy are positively related to the square of market-wide credit and liquidity risks, indicating that the market is less efficient when it is more volatile.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttps://dx.doi.org/10.2139/ssrn.2686284en_US
dc.subjectCredit default swaps; Statistical arbitrage; Affine models; Market-neutral strategy; Hedge fundsen_US
dc.titleExploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreadsen_US
dc.status.refereedNoen_US
dc.typeReporten_US
dc.type.versionNo full-text in the repositoryen_US


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