Merger Arbitrage Risk
Northstar has risk models designed specifically for merger arbitrage strategies. Event driven strategies are extremely popular within the hedge fund industry, but standard risk models, based only on historical data, break down when faced with mergers and acquisitions.
Our models combine deal parameters with market data to calculate the probability that a merger or acquisition will be completed. On top of this we add an econometric framework to model the correlation between deal spreads and other risk factors. This allows us to accurately gauge both the short-term and long-term risk to your portfolio. For multi-strategy portfolios, this also allows us to accurately describe the relationship between your merger arbitrage positions and other securities in your portfolio.
At Northstar, we provide a complete risk solution for merger arbitrage strategies.