Hedge Fund Hires Quant To Adapt JPMorgan Pricing Model

  • 06 Jun 2002
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KBC Alternative Investment Management has hired Dan Jones from KBC Financial Products to adapt one of JPMorgan's proprietary models, which focuses on hedging credit risk via equity, for KBC's systems. Andy Preston, fund manager, said the hedge fund team, which runs two funds with USD650 million in capital, has been studying using equity derivatives to hedge credit risk. He explained this is a natural progression from solely using credit-defaults swaps for convertible arbitrage, as convertibles stand naturally between the two asset classes of debt and equity. Preston said the most common form of this is to buy equity puts.

Jones will be working with David Sowray, the hedge fund's programmer, in refining JPMorgan's model to suit the fund's own systems. KBC Alternative Investment Management is also hiring a junior trader who will start in London and eventually relocate to New York, where the fund currently has two traders. Preston said the fund is expecting to receive a USD40 million inflow of capital at the beginning of June, which is allowing it to grow.

  • 06 Jun 2002

All International Bonds

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1 Citi 358,996.09 1352 9.05%
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3 Bank of America Merrill Lynch 318,428.16 1105 8.03%
4 Goldman Sachs 237,263.73 791 5.98%
5 Barclays 231,619.97 897 5.84%

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1 HSBC 35,007.57 165 6.53%
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4 BNP Paribas 27,920.60 169 5.21%
5 SG Corporate & Investment Banking 24,398.89 138 4.55%

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Rank Lead Manager Amount $m No of issues Share %
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1 JPMorgan 19,745.92 80 8.84%
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3 Citi 15,972.34 95 7.15%
4 UBS 15,487.17 60 6.94%
5 Goldman Sachs 14,053.61 76 6.29%