Credit Default Swaps On Amr Corporation: Cash Or Credit? Harvard Case Solution & Analysis

This instance puts the pupils in the shoes of Jeff Thomas, a high-return credit research analyst for a hedge fund. Thomas’ portfolio manager requested him to come up with a potential trade  for AMR Corporation (the parent company of American Airlines) using a credit default swap (CDS).

Thomas wanted to judge whether CDS spread predominating in the market was either too high or too low relative to AMR’s credit outlook. Thomas had to compare them against the prevalent CDS spreads in the marketplace and he was going to use structural and reduced form CDS pricing models. More importantly, Thomas needed to develop a trade recommendation.

Publication Date: 03/09/2016

This is just an excerpt. This case is about Finance

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