Event Driven/Special Sits Quants

jaiman · Post by **jaiman** » Tue Apr 15, 2008 12:13 am

This is way outside anything that I'm familiar with, but do funds that are in this space use quants? And if they do, what sort of work would they be doing? Is it portfolio optimization? Any links, papers, books etc would be really helpful.

gw33 · Post by **gw33** » Tue Apr 15, 2008 10:50 am

seen it in a couple of prop operations - attempts to develop systematic risk arb etc. From what I recall they weren't massively successful.

g.kapur · Post by **g.kapur** » Sat Apr 19, 2008 8:22 am

There are a few Chicago Profs/PHDs doing it. I think CNH Partners, which is being incubated (?) by AQR does it, and Abbie Smith from Chicago is rumored to have a successful accounting fraud model.

Nonius · Post by **Nonius** » Sat Apr 19, 2008 8:50 am

I've never seen it. all event driven/spec sit shops I've visited use plain vanilla fundamental analysis. if they do use "models", they are typically of those soft DCF models of companies.

then again, i'm only familiar with European event driven and spec sit managers. maybe people are using quants in the States.

Rookie_Quant · Post by **Rookie_Quant** » Thu May 01, 2008 8:52 pm

Some folks will do stat arb strategies that are around events/annoucned mergers, etc. but for the most part it's pure fundamentals. It's also possible that you could take an event/merger portfolio and structure some options positions around it via quant type work.

Beavis · Post by **Beavis** » Thu May 01, 2008 10:26 pm

One Special Situations guy at my old shop managed a book of illiquid CDO's and CLOs. I assume it was a 'special situation' because there was absolutely no way to get rid of anything. Makes you wonder why there even needed to be a manager.