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- Faculty Publications (104)
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- All HBS Web (1,009)
- Faculty Publications (104)
- May 2005 (Revised January 2006)
- Case
Ticonderoga: Inverse Floating Rate Bond
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...
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Keywords:
Risk and Uncertainty;
Credit Derivatives and Swaps;
Bonds;
Investment Funds;
Interest Rates
Chacko, George C., and Anders Sjoman. "Ticonderoga: Inverse Floating Rate Bond." Harvard Business School Case 205-113, May 2005. (Revised January 2006.)
- December 2002
- Background Note
Simulation of Prices, Rates and Cash Flows (B)
Considers more advanced issues required for complete cash flow simulation, including residual diagnostics (to determine whether a process has been identified correctly), simulation of nonmarket risk variables, and real options.
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Shimko, David C. "Simulation of Prices, Rates and Cash Flows (B)." Harvard Business School Background Note 203-057, December 2002.
- 09 Jan 2006
- Research & Ideas
Rebuilding Commercial Real Estate
overbuilding. "The money supply coming into our business is unprecedented, but I don't see risks that you would associate with a bubble," adds CBL's Lebovitz. If there's one thing that concerns market pros, it's View Details
- 23 Aug 2006
- Op-Ed
The Real Wal-Mart Effect
Wal-Mart's domestic sales volume, U.S. consumers save on the order of $18 billion per year. And because Wal-Mart forces its competitors to charge lower prices as well, this figure is a fraction of the company's real impact. These kinds of...
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- 31 Aug 2009
- Research & Ideas
Why Competition May Not Improve Credit Rating Agencies
model has the obvious risk of generating pressure to be friendly toward issuers, especially issuers that generate a lot of ratings business (e.g., they have a lot of outstanding debt and issue many bonds)....
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- 22 Jul 2009
- Working Paper Summaries
Reputation and Competition: Evidence from the Credit Rating Industry
- 12 Mar 2007
- Research & Ideas
The New Real Estate
months. The boom may end when interest rates rise from a falling dollar or if there is a surge of commercial overbuilding around the country. A political or terror event could bring things to a halt. Most...
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- 30 Aug 2004
- Research & Ideas
Real Estate: The Most Imperfect Asset
my course is about risk mitigation. I hope they will be able to answer the following question after a term in my course: How does one use all the tools learned at HBS to successfully structure deals and companies around the View Details
- 27 May 2011
- Working Paper Summaries
An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed Government Bonds
Keywords:
by Carolin E. Pflueger & Luis M. Viceira
- 18 Oct 2013
- Working Paper Summaries
Monetary Policy Drivers of Bond and Equity Risks
- 2022
- Working Paper
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...
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Hanson, Samuel G., Aytek Malkhozov, and Gyuri Venter. "Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads." Working Paper, December 2022.
- March 2005 (Revised February 2006)
- Case
Advising on Currency Risk at ICICI Bank
In March 2003, a client approached the Markets Advisory Group at ICICI Bank, India's second largest bank, about a hedging transaction. The hedge involved multiple interest rates and currencies. Shilpa Kumar, head of the Markets Advisory Group, has to put together a...
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Keywords:
Risk and Uncertainty;
Currency Exchange Rate;
Capital Markets;
Investment Funds;
Banks and Banking;
Banking Industry;
Financial Services Industry;
India
Chacko, George C., Marti G Subrahmanyam, Vincent Dessain, and Anders Sjoman. "Advising on Currency Risk at ICICI Bank." Harvard Business School Case 205-074, March 2005. (Revised February 2006.)
- 2017
- Article
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
By: John Y. Campbell, Adi Sunderam and Luis M. Viceira
The covariance between U.S. Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953–2009, it was unusually high in the early 1980s and negative in the 2000s, particularly in the downturns of...
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Campbell, John Y., Adi Sunderam, and Luis M. Viceira. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds." Critical Finance Review 6, no. 2 (2017): 263–301.
- 11 Apr 2012
- Research & Ideas
The High Risks of Short-Term Management
measure of short-termism. Second, we have found that our short-termism proxy captures a risk factor that has real implications for the economy, based on its association with companies' stock prices. And...
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- Fast Answer
Real estate: emerging markets
Where should I begin my research on real estate in frontier and emerging markets? Research Topics Suggested Resources Overviews ABI/ProQuest
Find articles and reports using keywords specific to your market andView Details
Find articles and reports using keywords specific to your market and
- 18 Jun 2018
- Working Paper Summaries
A Measure of Risk Appetite for the Macroeconomy
- 16 Jun 2015
- News
Huge growth in China’s money funds poses risk
- Research Summary
Contract Rights and Risk Aversion: Foreign Banks and the Mexican Economy, 1997-2004
In 1997 Mexicos banking laws were reformed, allowing foreign banks, for the first time since the nineteenth century, to purchase controlling interests in the countrys largest banks. Foreign banks controlled 16 percent of Mexican bank assets in March 1997. By June... View Details
- 01 Oct 2009
- Working Paper Summaries
Systemic Risk and the Refinancing Ratchet Effect
- 2009
- Working Paper
Systemic Risk and the Refinancing Ratchet Effect
By: Amir E. Khandani, Andrew W. Lo and Robert C. Merton
The confluence of three trends in the U.S. residential housing market-rising home prices, declining interest rates, and near-frictionless refinancing opportunities-led to vastly increased systemic risk in the financial system. Individually, each of these trends is...
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Khandani, Amir E., Andrew W. Lo, and Robert C. Merton. "Systemic Risk and the Refinancing Ratchet Effect." Harvard Business School Working Paper, No. 10-023, September 2009. (Revised July 2010.)