Filter Results
:
(182)
Show Results For
- All HBS Web (182)
- Faculty Publications (91)
Show Results For
- All HBS Web (182)
- Faculty Publications (91)
Page 1 of
182
Results
→
- April 2024
- Article
Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads
By: Samuel G. Hanson, Aytek Malkhozov and Gyuri Venter
We develop and test a model in which swap spreads are determined by end users' demand for
and constrained intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect
compensation both for using scarce intermediary capital and for bearing convergence...
View Details
Keywords:
Swap Spreads;
Credit Derivatives and Swaps;
Interest Rates;
Risk and Uncertainty;
Volatility
Hanson, Samuel G., Aytek Malkhozov, and Gyuri Venter. "Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads." Art. 103814. Journal of Financial Economics 154 (April 2024).
- February 1986 (Revised January 1996)
- Background Note
Currency Swaps
Describes uses of foreign currency swaps and development of both interest rate and foreign currency swaps market. Emphasis on calculation of all-in costs using foreign currency swaps and conversion of basis points in one currency to basis points in a different...
View Details
Mason, Scott P. "Currency Swaps." Harvard Business School Background Note 286-073, February 1986. (Revised January 1996.)
- March 1984 (Revised August 1996)
- Case
B.F. Goodrich-Rabobank Interest Rate Swap
By: Jay O. Light
A U.S. manufacturing organization and a Eurobank swap fixed and floating rate obligations to reduce their financing costs.
View Details
Keywords:
Financing and Loans;
Cost Management;
Production;
Interest Rates;
Credit Derivatives and Swaps;
Auto Industry;
Financial Services Industry;
United States
Light, Jay O. "B.F. Goodrich-Rabobank Interest Rate Swap." Harvard Business School Case 284-080, March 1984. (Revised August 1996.)
- November 1991 (Revised April 2002)
- Background Note
Note on Foreign Currency Swaps
By: W. Carl Kester
Provides descriptive background about the development of an international market for currency swaps and, by means of a detailed example, instructs readers in the determination of swap flows and all-in costs of financing using market swap rates. A rewritten version of...
View Details
Keywords:
Currency
Kester, W. Carl. "Note on Foreign Currency Swaps." Harvard Business School Background Note 292-043, November 1991. (Revised April 2002.)
- May 2005 (Revised January 2006)
- Background Note
Note on Forward Contracts and Swaps
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...
View Details
Keywords:
Financial Instruments
Chacko, George C., Peter A. Hecht, Vincent Dessain, and Anders Sjoman. "Note on Forward Contracts and Swaps." Harvard Business School Background Note 205-118, May 2005. (Revised January 2006.)
- May 1991 (Revised December 1994)
- Case
State of Connecticut Municipal Swap
By: Andre F. Perold
The state of Connecticut wants to raise $325 million of long-term fixed-rate debt. One alternative is to do this synthetically--issue long-term variable rate debt and enter into an interest rate swap. The case is a vehicle for analyzing various floating rate structures...
View Details
Keywords:
Borrowing and Debt;
Credit Derivatives and Swaps;
Interest Rates;
Taxation;
Management Analysis, Tools, and Techniques;
Risk and Uncertainty;
New England
Perold, Andre F. "State of Connecticut Municipal Swap." Harvard Business School Case 291-024, May 1991. (Revised December 1994.)
- Fast Answer
Credit default swaps
Where can I get information on credit default swaps (CDS)? Capital IQ: Search for equity or country in search bar. Credit Default Swaps are available in left hand menu under Fixed Income. The Capital IQ...
View Details
- Article
International Pension Swaps
By: Zvi Bodie and Robert C. Merton
Bodie, Zvi, and Robert C. Merton. "International Pension Swaps." Journal of Pension Economics & Finance 1, no. 1 (March 2002): 77–83.
- January 2008 (Revised July 2010)
- Case
Wal-Mart's Use of Interest Rate Swaps
"Wal-Mart's Use of Interest Rate Swaps" recounts Wal-Mart's use of interest rate swaps to hedge the fair value of its fixed-rate debt against changing interest rates. This case provides students with a foundation for understanding the use of and accounting for more...
View Details
Keywords:
Fair Value Accounting;
Financial Statements;
Credit Derivatives and Swaps;
Financial Strategy;
Interest Rates;
Corporate Disclosure
Kimbrough, Michael D., Michael Faulkender, Nicole Thorne Jenkins, and Rachel Gordon. "Wal-Mart's Use of Interest Rate Swaps." Harvard Business School Case 108-038, January 2008. (Revised July 2010.)
- 31 Mar 2011
- News
Building an Online Swap Shop
Reinhart: Deriving success in derivative markets. thredUP, a children’s clothing swap Web site cofounded by HBS classmates James Reinhart and Chris Homer (MBA ’09), expanded into toys last fall, just in time for the holidays. Shoppers had...
View Details
- February 2005
- Article
Swapping Your Country's Risks
By: Robert C. Merton
Keywords:
Risk and Uncertainty
Merton, Robert C. "Swapping Your Country's Risks." Breakthrough Ideas for 2005. Harvard Business Review 83, no. 2 (February 2005): 34–36. (HBS Reprint #RO502A.)
- July 2002
- Case
First American Bank: Credit Default Swaps
This case examines a bank's ability to manage its credit exposure to a particular client using credit default swaps.
View Details
Chacko, George C., and Eli Strick. "First American Bank: Credit Default Swaps." Harvard Business School Case 203-033, July 2002.
- December 2012
- Background Note
Jefferson County: Specific Swap Detail
Jefferson County, Alabama, faces an EPA mandate requiring sewer system upgrades. How will they finance the upgrades? What consequences will follow?
View Details
Keywords:
Local Government;
Political Process;
Bankruptcy;
Debt Management;
Financial Planning;
Financial Management;
Urban Development;
City;
Infrastructure;
Government and Politics;
Alabama
Bergstresser, Daniel, Randolph Cohen, and Jeff Klein. "Jefferson County: Specific Swap Detail." Harvard Business School Background Note 213-061, December 2012.
- February 1988
- Case
Chase Manhattan Bank: Commodity Swaps
By: Ray A. Goldberg
Goldberg, Ray A. "Chase Manhattan Bank: Commodity Swaps." Harvard Business School Case 588-056, February 1988.
- March 1993
- Teaching Note
Note on Foreign Currency Swaps (TN)
By: W. Carl Kester
Teaching Note for (9-292-043).
View Details
- June 1995 (Revised May 1996)
- Teaching Note
State of Connecticut Municipal Swap TN
By: Andre F. Perold and Wai Lee
Teaching Note for (9-291-024).
View Details
- 01 Mar 2011
- News
Swap ’Em If You Got ’Em
Hall (right): An online market for military personnel. Blake Hall (MBA ’10) grew up in a military family, became an Army Ranger, and was a platoon leader in Iraq for fifteen months. A conversation with a fellow veteran about the difficulty of buying and selling...
View Details
- February 2010
- Case
Saginaw Parts Co. and the General Motors Corp. Credit Default Swap
This two-page case demonstrates how to unbundle the cost of credit extensions from product prices by observing the price of a credit default swap. It also explores how credit default swaps work, and how trade creditors are treated under U.S. bankruptcy law. Finally it...
View Details
Keywords:
Trade;
Credit;
Insolvency and Bankruptcy;
Credit Derivatives and Swaps;
Laws and Statutes;
Risk Management;
Auto Industry;
United States
Fruhan, William E. "Saginaw Parts Co. and the General Motors Corp. Credit Default Swap." Harvard Business School Case 210-056, February 2010.
- August 1988
- Case
J.P. Morgan's Mexican Bank Debt: Bond Swap
Meerschwam, David M. "J.P. Morgan's Mexican Bank Debt: Bond Swap." Harvard Business School Case 289-013, August 1988.
- January 2011 (Revised June 2011)
- Supplement
Fixed Income Arbitrage in a Financial Crisis (C): TED Spread and Swap Spread in November 2008
Investment manager Albert Mills confronts an apparent arbitrage opportunity during the global financial crisis of 2008 when he notices an unusually low-- and briefly negative-- thirty-year U.S. dollar fixed-floating swap spread. Mills must decide if there is an...
View Details
Keywords:
Bonds;
Financial Management;
Investment Return;
Financial Crisis;
Financial Services Industry;
United States
Taliaferro, Ryan D., and Stephen Blyth. "Fixed Income Arbitrage in a Financial Crisis (C): TED Spread and Swap Spread in November 2008." Harvard Business School Supplement 211-051, January 2011. (Revised June 2011.)