In September 2014, a week before the UN Climate Summit, MSCI launched an innovative family of indices designed to allow investors to manage carbon risk in their portfolio.
In September 2014, a week before the UN Climate Summit, MSCI launched an innovative family of indices designed to allow investors to manage carbon risk in their portfolio.
In June 2017, Barry Callebaut, the largest B2B cocoa and chocolate company in the world renewed its revolving credit facility (RCF) introducing a novel feature suggested by the Dutch bank ING: the margin on the RCF would be tied to the company’s ESG score from Sustainalytics, a leading sustainability agency, as a way to “make sustainability truly pay”.
In June 2017, Barry Callebaut, the largest B2B cocoa and chocolate company in the world renewed its revolving credit facility (RCF) introducing a novel feature suggested by the Dutch bank ING: the margin on the RCF would be tied to the company’s ESG score from Sustainalytics, a leading sustainability agency, as a way to “make sustainability truly pay”.
Case A:
To extract cheap volatility in Duke Energy convertible bonds, Mark Punt, a convertible arbitrageur at KBC AIM, purchases the bonds and delta hedges them with a short position in the companys shares. To manage the credit risk of his long convertible bond position, Mark faces a choice of hedging with CDS, shares of the company or out-of-the-money puts on the companys stock.
Case A:
To extract cheap volatility in Duke Energy convertible bonds, Mark Punt, a convertible arbitrageur at KBC AIM, purchases the bonds and delta hedges them with a short position in the companys shares. To manage the credit risk of his long convertible bond position, Mark faces a choice of hedging with CDS, shares of the company or out-of-the-money puts on the companys stock.
Case B: Based on a Merton-type structural model of credit risk, Steve Dash, a trader at KBC AIM, perceives that British Airways’CDS are mispriced relative to the company’s share price. Steve has to figure out which trades to put on to exploit the potential mispricing and what the main profit drivers of this strategy are.
Case B: Based on a Merton-type structural model of credit risk, Steve Dash, a trader at KBC AIM, perceives that British Airways’CDS are mispriced relative to the company’s share price. Steve has to figure out which trades to put on to exploit the potential mispricing and what the main profit drivers of this strategy are.
Portfolio Choice and Risk Management, Credit Risk
