Davide Avino

Davide Avino graduated cum laude from LUISS Guido Carli University with major in Corporate Finance (2007). He obtained an MSc in Finance from Bangor University graduating with distinction (2009). He has worked as a consultant for the Italian branches of international clients such as GE Capital Solutions and Takeda Pharmaceutical Company in the area of finance and internal auditing. He also advised Italian cooperative banks in the creation of their business plans and acted as a research assistant for the Banking course at LUISS University. Davide is currently pursuing his PhD under the joint supervision of Dr Simone Varotto and Dr Emese Lazar. The main focus of his research is credit risk analysis. In particular, his interests are in (1) credit risk modelling - empirical testing of the models; (2) microstucture of credit markets - interactions and integration of CDS, bond, equity and option markets for the pricing and price discovery of credit risk; (3) credit arbitrage - the analysis of risks and returns of arbitrage strategies based on the exploitation of pricing inefficiencies between credit-sensitive securities of different issuers; (4) risk management applications for securities portfolios. He has presented his research at international conferences such as CREDIT 2011, IRMC 2012, APAD 2012 and he also acted as a referee for several journals in Finance.


Dr. Emese Lazar received her PhD in Finance from the ICMA Centre, The University of Reading in 2006. Previously she obtained an MSc in Financial Engineering and Quantitative Analysis with a distinction from the ICMA Centre. She graduated from the Academy of Economic Studies in Bucharest, with a BSc in Finance and Banking. Also, she holds a BSc in Computer Science obtained from the University of Bucharest, Faculty of Mathematics. Her research interests include: volatility and correlation models and their application in pricing structured products and risk management, market risk measurement and management and financial econometrics. Emese presently teaches Derivatives Pricing, Mathematical and Numerical Methods, and Market Risk at the ICMA Centre, University of Reading.


 

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Rethinking Capital Structure Arbitrage

Company:Davide Avino

It is well known that the capital structure arbitrage strategy generated negative Sharpe ratios between 2005-2009. This white paper introduces four new alternative strategies that exploit the information provided by the time-varying price discovery of the equity and credit default swap markets.

Category: Credit Derivatives | Published: 03 October 2012 | Type: White Paper

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