BMGT 445 lecture 8

BMGT 445 lecture 8 - BMGT445 Lecture 8 Keyconcepts...

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Click to edit Master subtitle style 3/1/11 BMGT 445 Professor Ethan Cohen-Cole Lecture 8
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3/1/11 Key concepts Off-the-Balance-sheet How they help How they can hurt
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3/1/11 Off Balance Sheet Risks Contingent assets Contingent liabilities Derivative Securities Held Off the Balance Sheet: Forward contracts Futures contracts Option contracts Swap contracts
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3/1/11 OBS Activities Infamous cases: Barings. NatWest Bank Midland Bank Chase Manhattan Union Bank of Switzerland Metallgesellschaft. Banker’s Trust. CSFB/Orange County, CA.
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3/1/11 Couple more items of ntoe J.P. Morgan Chase and Citigroup $2.25 billion loss via credit derivatives AIG Credit Default Swaps Sarbanes-Oxley Act of 2002 Disclosure requirements: arrangements that “may” be of material concern to the markets.
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3/1/11 Option “delta” Delta The ratio comparing the change in the price of the underlying asset to the corresponding change in the price of a derivative. Sometimes referred to as the "hedge ratio". For example (call option), a delta of 0.7 means that for every $1 the underlying stock increases, the call option will increase by $0.70.
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3/1/11 OBS Activities and Solvency Off-balance-sheet assets Off-balance-sheet liabilities Valuation of OBS items:
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This note was uploaded on 02/28/2011 for the course BMGT 445 taught by Professor Malmquist during the Spring '09 term at Maryland.

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BMGT 445 lecture 8 - BMGT445 Lecture 8 Keyconcepts...

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