At the same time, a difficult 12 months for many of the region’s equity markets means implied credit spreads modelled from equity volatility levels on a number of Asian companies is often significantly wider than the actual spread in the credit default swaps market, offering relative value trading opportunities. A small but growing number of Asian firms are now considering these strategies, said Awasthi.
“Traditional long/short equity funds are doing the same thing in credit,” added Tarun Jotwani, London-based head of international credit markets at Lehman Brothers. “This is now happening increasingly in Asia.”
The week on Risk.net, July 7-13, 2018Receive this by email