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Merger Arbitrage Risk Model


Stéphane Daul


Pictet Asset Management; RiskMetrics Group
February 1, 2007


Abstract:     
A traditional VaR approach is not suitable to assess the risk that merger arbitrage funds carry in their portfolios. We propose a simple two-state or three-state model that captures the risk characteristics of the deals in which merger arbitrage funds invest.This model has been tested on a set of mergers and acquisitions between large US public companies in 2005.

Number of Pages in PDF File: 13

Keywords: Merger arbitrage, risk measurement

JEL Classification: C

working papers series


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Date posted: February 6, 2010  

Suggested Citation

Daul, Stéphane, Merger Arbitrage Risk Model (February 1, 2007). Available at SSRN: http://ssrn.com/abstract=1548429 or http://dx.doi.org/10.2139/ssrn.1548429

Contact Information

Stéphane Daul (Contact Author)
Pictet Asset Management ( email )
Geneva
Switzerland
RiskMetrics Group ( email )
1 Chase Manhattan Plaza
New York, NY
United States
Feedback to SSRN (Beta)


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