Lucie Tepla

Senior Affiliate Professor of Finance
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.

Published 14 Oct 2020

Reference 6593

Topic Economics & Finance

Region Global

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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”.

Published 13 Oct 2020

Reference 6539

Topic Economics & Finance

Region Europe

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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 company’s 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 company’s stock.

Published 10 Jan 2004

Reference 5225

Topic Economics & Finance

Industry Venture Capital

Region Europe

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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.

Published 10 Jan 2004

Reference 5225

Topic Economics & Finance

Industry Venture Capital

Region Europe

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Portfolio Choice and Risk Management