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Big Game: Goldman Sachs' Elephant Hunt in Libya

通常価格 ¥1,144 JPY
通常価格 セール価格 ¥1,144 JPY
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The case focuses on the ill-fated relationship between the LIA, Libya's new sovereign wealth fund, and Goldman Sachs, and the ultimately disastrous $1.2 billion derivatives (elephant) trades the LIA entered into in early 2008 on Goldman's advice. The analysis deals with basic derivative instruments, terminology and concepts (e.g., leverage, counterparty risk) as well as valuation issues both intuitive (e.g., put-call parity, arbitrage-based valuation bounds) and technical (binomial trees, Black-Scholes formula, Monte Carlo simulations, volatility and dividend yield calibration). It also discusses the pricing and hedging of exotic derivatives. Epilogue: In a subsequent lawsuit brought by the LIA, Goldman Sachs was accused of having exploited the lack of finance acumen of LIA staff to lure them into trades whose riskiness they did not understand. In October 2016, a London court ruled against the LIA. Please visit the dedicated case website "https://cases.insead.edu/big-game/" to access supplementary material.

【書誌情報】

ページ数:11ページ

サイズ:A4

商品番号:HBSP-IN1497

発行日:2018/9/24

登録日:2018/12/5

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