Menu
  1. about
  2. solutions
  3. Intelligence
  4. Careers
Search

White Paper - Capital Structure Arbitrage under a Risk-Neutral Calibration

Complete Form to Download White Paper

 

Published in the Journal of Risk and Financial Management by Calypso Solution Architect Dr. Peter Zeitsch, this paper proposes a new Merton model calibration that employs deep out-of-the-money equity put volatilities and a simple technique for risk neutrally deriving the default barrier. This has important implications for measuring counterparty credit risk and leads to a new approach to trade equity against credit. The strategy is fully back tested in Calypso.

 

Latest Tweets

Integrated suite of cross-asset trading and risk management solutions

Calypso is the leading provider of innovative cross-asset front-to-back technology solutions for complex financial markets. We provide clients with a single platform that enables system consolidation, business innovation and growth at the enterprise level across trading, risk management, processing and accounting.

© 2017 Calypso. All rights reserved - Terms Of Use - Privacy Statement Contact Us
Back To Top