個案總覽

Introduces interest rate derivatives, covering floors, caps, and swaptions. Introduces floors, caps, and swaps by analogy to equity puts, calls, and stocks. As with calls and puts on equity, a put-call parity relationship is shown to exist between caps, floors, and swaps. Draws on students' knowledge of the put-call parity in an equity context.

Presents a simple interest hedging exercise. A hedge fund is considering an investment in a structured fixed--income product: an inverse floating-rate bond, or inverse floater, designed by a U.S. investment bank. The hedge fund's normal policy is to hedge interest rate risk, maintaining a duration and convexity-neutral portfolio. Because of the complicated nature of the structured product, the protagonist must figure out how to hedge this product.

Provides the basic underlying model for credit risk analysis, as well as covers basic credit risk derivatives, such as asset swaps, credit default swaps, total return of rate swaps, and credit spread options.

Introduces forward contracts and derives graphically through basic arbitrage principles the spot-forward parity. Introduces swap contracts as simply a portfolio of forward contracts. Also covers briefly the mathematics behind swaps as an extension of spot-forward parity calculations.

Ticonderoga is a small hedge fund that trades in mortgage-backed securities--securities created from pooled mortgage loans. They often appear as straightforward so-called "pass-throughs," but can also be pooled again to create collateral for a mortgage security known as a collateralized mortgage obligation (CMO). CMOs allow cash flows from the underlying pass-throughs to be directed, allowing the creation of different classes of securities--tranches--with different maturities, coupons, and risk profiles. In April 2005, the general managers of Ticonderoga are looking at the market data, trying to construct a trade given their view on the prepayment speed of mortgages vs. the implied prepayment speed they derive from CMOs in the market.

Spreadsheet Supplement for case 205111

Spreadsheet Supplement for case 205118

Spreadsheet Supplement for case 205122

Spreadsheet Supplement for case 205121

In late 2004, a cashed-out entrepreneur in the health sciences decides to pursue private-equity angel investing as a means to fulfill her professional, financial, and personal objectives. Jocelyn Chang investigates three different types of angel organizations: the Band of Angels, Tenex Medical Investors, and the Washington Dinner Club. As part of her research into private-equity investing, she explores recent (postbubble) developments in both angel investing and the venture-capital industry.

A client asks Luc Giraud, CEO of the structured finance solutions provider Nexgen Financial Solutions, to put together a solution that allows the client to add AAA-rated bonds to its portfolio. The client cannot find suitably priced top-rated bonds in the market and wonders whether Nexgen can use lower grade bonds to create AAA-equivalent instruments. The process of securitization packages together securities to create new securities with different risk and return profiles.

A+J+O uses quantitative stock picking engines based on statistical stock return anomalies. They use neither outside research nor soft dollars. They have a developed a relationship with brokers that fosters good execution quality of trades. Ted Aronson, the founder is wondering whether the firm should expand further the long-short investment strategy.

In 2005, the University of Chicago Investment office was deciding how much capital to allocate toward timber investing. Explores the challenges associated with optimal portfolio construction when one of the invested assets is illiquid with limited historical price transaction data.

Spreadsheet Supplement for case 205101

Introduces the field of project finance and provides a statistical overview of the project-financed investments over the last five years. Defines project finance and contrasts it with other well-known financing structures. Describes the evolution of project finance, from its beginnings in the natural resources industry in the 1970s to the U.S. power industry in the 1980s and to a much wider range of industry applications and geographic locations in the 1990s and 2000s. Provides a statistical overview of project-financed investments over the last five years (2000-2004), featuring industry, project, and participant data. Also discusses current and likely future trends and provides terminology and institutional details.

Spreadsheet Supplement for case 205065.