Price of 5-year credit default swap (coupon=100) at the close of the market on , at 5:00 PM GMT (source: DataGrapple).
The credit default swap (“CDS”) is a financial instrument enabling the transfer of an issuer’s credit risk between two investors. The CDS provides investors with a liquid tool for hedging or investing. The price of a CDS is the market barometer for the risk of a borrower.
Arbitrage is an investment technique that combines purchases and sales of financial instruments having offsetting risks. The net return on the portfolios thus combined is the arbitrage profit. The performance of arbitrage portfolios is not governed by the performance of the financial markets. Arbitrages are investment processes that use leverage – such investments are restricted to professional investors.
Hellebore Capital (HC) is a management company specializing in credit derivatives arbitrage. Its technology gives HC the ability to operate in all the credit derivatives markets of Asia, Europe and North America. If you would like to learn more about HC and its products, you can create an account online. HC is regulated by the French Authorité des marchés financiers (“AMF”).
Hellebore Capital's R&D team focuses on credit default swap (CDS) time series modelling, both to define quantitative investment strategies or to design new risk management frameworks. The team has developed an expertise in clustering algorithms, a set of machine-learning techniques which clusters assets demonstrating similar behaviours. These techniques are providing resilient results despite noise and jumps characteristics of CDS time series. More recently, some of the research efforts have concentrated on asynchronous time series description and prediction. Amongst other topics, Natural Language Processing techniques have been explored as well, hand in hand with Hellebore Technologies, a sister company.
The team publishes some of its results and participates in various conferences. We think this is good practice to constantly challenge our ideas.
By hosting interns or monitoring projects with PhD students, Hellebore Capital has established partnerships with universities amongst the best in Europe : the Ecole Polytechnique (France), Imperial College (London), etc. Groups of students from ENSAE (France) has also been supervised on Data Science projects.
We are always looking for resourceful and motivated people, do not hesitate to apply to any of our research open positions. If nothing fits your prospects & skills, we do encourage spontaneous applications through Hellebore HR.
We will give and gave talks at these machine learning conferences:
We also participate to various AI / Machine Learning / Big Data / FinTech meetings in Paris and London:
Unsolicited applications from graduate students in math, physics, machine learning, financial engineering with strong computational skills are most welcomed.