Publications

June 1995 (Revised May 1996)
Teaching Note

B.F. Goodrich-Rabobank Interest Rate Swap, The TN

By: Andre F. Perold and Wai Lee

Teaching Note for (9-284-080). View Details

Keywords: Credit Derivatives and Swaps; Rubber Industry

June 1995 (Revised May 1996)
Teaching Note

State of Connecticut Municipal Swap TN

By: Andre F. Perold and Wai Lee

Teaching Note for (9-291-024). View Details

Keywords: Credit Derivatives and Swaps; Connecticut

October 1994
Case

Bankers Trust: Global Investment Bank

By: Andre F. Perold and Kuljot Singh

In October 1992, Eugene Shanks, president of Bankers Trust New York Corp., and Brian Walsh, head of the Global Investment Bank (GIB) business unit, are considering a proposal for a large and complex financing involving the North Sea Oil Co. (NSOC). The financing... View Details

Keywords: Risk and Uncertainty; Credit Derivatives and Swaps; Risk Management; Value Creation; Business History; Capital Markets; Financing and Loans; Financial Markets; Corporate Finance; Banking Industry; Energy Industry

October 1994
Background Note

Note on Crude Oil and Crude Oil Derivatives Markets

By: Andre F. Perold, Wai Lee and Kuljot Singh

Briefly describes the crude oil markets and common derivatives contracts written on oil. The contracts are oil forward and futures contracts, and over-the-counter oil price swaps. View Details

Keywords: Non-Renewable Energy; Futures and Commodity Futures; Credit Derivatives and Swaps; Contracts; Energy Industry

March 1994 (Revised June 1995)
Background Note

Interest Rate Derivatives

By: Peter Tufano

Introduces and explains the six major interest rate derivative products: swaps, forward rate agreements, Eurodollar futures, bond options, caps/floors/collars, and swap options. View Details

Keywords: Credit Derivatives and Swaps; Interest Rates

February 1994 (Revised July 2008)
Case

Banc One Corporation: Asset and Liability Management

By: Benjamin C. Esty, Peter Tufano and Jon Headley

Banc One's share price has been falling recently due to analyst and investor concern over the bank's heavy use of interest rate derivatives. Dick Lodge, chief investment officer in charge of the bank's investment and derivative portfolio, must recommend to the CEO a... View Details

Keywords: Credit Derivatives and Swaps; Financial Management; Interest Rates; Investment Portfolio; Governance Controls; Risk Management; Banking Industry

November 1992 (Revised December 1994)
Case

BEA Associates: Enhanced Equity Index Funds

By: Andre F. Perold

BEA's enhanced index fund product uses derivatives and cash market securities to find the most efficient way to "track an index." The considerations involve transaction costs, custodial fees, withholding taxes on dividends, and fees from securities lending. In this... View Details

Keywords: Credit Derivatives and Swaps; Investment Portfolio; Management; Investment Banking; Competitive Advantage; Cost Management

May 1991 (Revised December 1994)
Case

State of Connecticut Municipal Swap

By: Andre F. Perold

The state of Connecticut wants to raise $325 million of long-term fixed-rate debt. One alternative is to do this synthetically--issue long-term variable rate debt and enter into an interest rate swap. The case is a vehicle for analyzing various floating rate structures... View Details

Keywords: Borrowing and Debt; Credit Derivatives and Swaps; Interest Rates; Taxation; Management Analysis, Tools, and Techniques; Risk and Uncertainty; New England

April 1988 (Revised May 1992)
Case

Gaz de France

By: W. Carl Kester

The treasurer of Gaz de France is an aggressive, proactive manager of his company's liability structure, running one of the largest swap books of any non-financial corporation in the world. Currency futures, interbank forwards, and currency options are also frequently... View Details

Keywords: Decisions; Borrowing and Debt; Currency Exchange Rate; Credit Derivatives and Swaps; Policy; Management; Organizational Structure; Energy Industry; Europe

January 1987 (Revised November 1991)
Case

R.J. Reynolds International Financing

By: W. Carl Kester and William B. Allen

Reynolds must source a substantial portion of the financing of its Nabisco acquisition in offshore bond markets. Morgan Guaranty has proposed a yen/dollar dual currency Eurobond that could be hedged into dollars. This structure is compared to Eurodollar Bonds, Euroyen... View Details

Keywords: Acquisition; Capital Markets; Currency Exchange Rate; Credit Derivatives and Swaps; Bonds; Financing and Loans

August 1985 (Revised July 1991)
Case

Universal Circuits, Inc.

By: Thomas R. Piper

The manager of international finance of a major U.S. electronics company is concerned about the exposure of the firm to changes in exchange rates. Of particular concern is the exposure of operations to changes in real exchange rates. The teaching objectives include: 1)... View Details

Keywords: Credit Derivatives and Swaps; International Finance; Currency Exchange Rate; Business Plan; Risk and Uncertainty; Financial Management; Financial Strategy; Electronics Industry; United States

January 1983 (Revised February 1988)
Case

Hospital Corp. of America (B)

By: W. Carl Kester

Focuses on HCAs financing options for reaching its target capital structure. The options include new equity conversion of convertible debentures, a debt-for-equity swap, the sale of assets, and fixed-rate debt. Students must address the problem of market timing and... View Details

Keywords: Assets; Capital Structure; Cash Flow; Equity; Debt Securities; Credit Derivatives and Swaps; Health Industry; United States

Research Summary

Concentrated Capital Losses and the Pricing of Corporate Credit Risk

By: Emil N. Siriwardane

In studying the U.S. credit default swap (CDS) market, Professor Siriwardane has discovered that the selling of CDS protection is extremely concentrated, with five sellers accounting for nearly half the market. Further, in contrast to what neoclassical theory... View Details

Forthcoming
Article

Reflexivity in Credit Markets

By: Robin Greenwood, Samuel G. Hanson and Lawrence J. Jin

Reflexivity is the idea that investors' biased beliefs affect market outcomes and that market outcomes in turn affect investors’ future biases. We develop a dynamic behavioral model of the credit cycle featuring this two-way feedback loop. Investors form beliefs about... View Details

Keywords: Reflexivity; Attitudes; Financial Markets; Forecasting and Prediction; Investment; Credit