Merger Arbitrage Risk Model

13 Pages Posted: 6 Feb 2010

See all articles by Stéphane Daul

Stéphane Daul

affiliation not provided to SSRN; Pictet Asset Management

Date Written: 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.

Keywords: Merger arbitrage, risk measurement

JEL Classification: C

Suggested Citation

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

Stéphane Daul (Contact Author)

Pictet Asset Management ( email )

Geneva
Switzerland

affiliation not provided to SSRN

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