Financial Instruments and Markets
A Casebook
1st Edition
Published on 10. February 2006
Book
Hardback
656 pages
978-0-471-73767-4 (ISBN)
Description
Create value while you manage risk
Today's increasingly volatile financial markets have caused an explosion of new financial instruments designed to transfer risk--from collateralized mortgage-backed securities to swaptions that trade directly between financial actors. And now these complex financial instruments have become standard operating procedure at most large and mid-sized businesses. Managers overseeing any substantial business, financial or non-financial, must thoroughly understand these financial instruments and their value in hedging and diversifying to succeed.
With this unique casebook, you'll have the opportunity to gain the analytical, institutional, and functional knowledge you need to use these instruments to solve new problems. Featuring cases from the authors' MBA and Executive Education level courses at Harvard Business School, the book covers the basics of financial instruments, from terminology to pricing, and the markets in which these instruments trade. Throughout, the emphasis is on how these securities accomplish risk transfer from actors who do not want risk to those who are willing to take it on--for a fee of course.
These cases include:
* Deutsche Bank: Finding Relative Value Trades
* Ticonderoga Capital: Inverse Floating Rate Bonds
* 100-Year Liabilities at Prudential Insurance
* Swedish Lottery Bonds
* The Enron Odyssey: The Special Purpose of SPEs
* Building Hedge Funds at Prospero Capital
* Dell Computer Corporation: Share Repurchase Program
* First American Bank: Credit Default Swaps
* Morgan Stanley and TRAC-X: The Battle for the CDS Indexes Market
* and more
More details
Person
George Chacko joined the Harvard Business School Faculty in the Finance Area in 1997. He currently teaches a second-year course on Capital Markets in the MBA Program, and he teaches a Ph.D. course on Asset Pricing that is jointly offered by the Business School and the Harvard Economics Department. He has also taught Corporate Financial Engineering in both the MBA program and the Executive Education program at HBS, as well as a first-year course on Corporate Finance in the MBA program.
Professor Chacko holds a Ph.D. in Business Economics from Harvard University, and dual Master's degrees in Business Economics (Harvard University) and Business Administration (University of Chicago). He holds a Bachelor's degree in Electrical Engineering from the Massachusetts Institute of Technology. Professor Chacko's experiences prior to HBS have included work at a major financial services firm, and a large consulting firm. He currently consults with with financial institutions ranging from commercial/investment banks and insurance companies to hedge funds.
Professor Chacko's research has focused on three areas: (1) the structure of fixed income markets and the design of instruments that trade in those markets; (2) the study of portfolio choice by individuals and institutions; and (3) the analysis and application of derivative securities.
Content
Part I: Introduction
Part II: FIXED INCOME SECURITIES: CONCEPTS
Chapter 1: Note on Bond Valuation & Returns
Chapter 2: Deutsche Bank: Finding Relative Value Trades
Chapter 3: Note on Duration and Convexity
Chapter 4: Ticonderoga Capital: Inverse Floating Rate Bonds
Chapter 5: 100-Year Liabilities at Prudential Insurance
Part III: FIXED INCOME SECURITIES: APPLICATIONS
Chapter 6: Deutsche Bank: Discussing the Equity Risk Premium
Chapter 7: Swedish Lottery Bonds
Chapter 8: Bank Leu's Prima Cat Bond Fond
Chapter 9: Catastrophe Bonds at Swiss Re
Chapter 10: Mortgage Backs at Ticonderoga
Chapter 11: KAMCO and the Cross-Border Securitization of Korean Non-Performing Loans
Chapter 12: Nexgen: Structuring Collateralized Debt Obligations (CDOs)
Chapter 13: Forward and Swap Contracts
Chapter 14: The Enron Odyssey (A):The Special Purpose of SPEs
Part IV: DERIVATIVE SECURITIES
Chapter 15: Risk Arbitrage: Abbott Labs and Alza (A)
Chapter 16: Building Hedge Funds at Prospero Capital
Chapter 17: Neeley University Investment Management Company
Part V: EQUITY OPTIONS: CONCEPTS
Chapter 18: Basic Option Properties
Chapter 19: Dell Computer Corporation: Share Repurchase Program
Chapter 20: Option Valuation
Chapter 21: Sally Jameson: 1999
Part VI: EQUITY OPTIONS: APPLICATIONS
Chapter 22: Pine Street Capital
Chapter 23: Tribune Company: The PHONES Proposal
Chapter 24: Cox Communications, Inc, 1999
Chapter 25: DigaMem, Inc.
Chapter 26: ALZA and Bio-Electro Systems (A): Technological and Financial Innovation
Part VII: CREDIT DERIVATIVES
Chapter 27: Credit Risk Instruments
Chapter 28: First American Bank: Credit Default Swaps
Chapter 29: Morgan Stanley and TRAC-X: The Battle for the CDS Indexes Market
Part VIII: INTEREST RATE DERIVATIVES
Chapter 30: Introduction to Interest Rate Options
Chapter 31: Advising on Currency Risk at ICICI Bank
Part IX: EQUITY AND OPTIONS EXCHANGES
Chapter 32: Deutsche Borse
Chapter 33: The Chicago Board Options Exchange
Chapter 34: The International Securities Exchange: New Ground in Options Markets
Part X: REAL OPTIONS
Chapter 35: RTY Telecom: Network Expansion