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Describes how a credit derivative may be used to structure a profitable transaction between a bank and its client. Design and risk management issues are discussed in the context of this new class of derivative security.

Explores the development of a new product offering based on the first issuance of "real" bonds in the United States. Looks at a specific organization's efforts to position itself to profit from this market development. Follows naturally from a case on nominal bonds.

Spreadsheet Supplement for case 298017

This case investigates an innovative bond issue by Enron. The coupon on the bond is indexed to the company's credit rating, making it a credit derivative structure.

Introduces the student to the recently developed concept of value-at-risk (VAR) in risk analysis. By working through a stylized example using spreadsheet tools, the student learns the conceptual framework of VAR and its implementation mechanics.

Presents the history and features of credit derivatives, a new class of securities. A stylized problem is also provided.

Spreadsheet Supplement for case 297069.

Spreadsheet Supplement for case 297086.

Spreadsheet Supplement for case 297086

The case visits the catastrophe insurance business at an interesting time in the history of the insurance markets. A major reinsurer, National Insurance, is taking a look at the new insurance derivatives being traded on the Chicago Board of Trade with a view to using them for risk management and as a portfolio option.

Spreadsheet Supplement for case 296036

Examines the warrant pricing.