Event Driven Arbitrage

objective

Trade event-driven spreads with explicit deal-probability and break-risk diagnostics.

workflow

1. define event universe, catalyst timeline, and payoff states.
2. estimate deal-completion probabilities and break outcomes.
3. price spread fair value under scenario-weighted cash flows.
4. stress spread under timeline delays and regulatory shocks.
5. deploy only when expected value and tail risk satisfy constraints.

required diagnostics

• spread-implied probability versus model probability divergence.
• timeline-slip sensitivity on annualized spread return.
• break-risk contribution to downside distribution.
• event outcome calibration across historical cohorts.
• position-level jump-risk concentration diagnostics.