Credit Default Swaps on AMR Corporation: Cash or Credit?

This case puts students in the shoes of Jeff Thomas, a high-performing credit research analyst for a hedge fund. Thomas ‘portfolio manager asked him to present a possible business idea for AMR Corporation (American Airlines’ parent company) with a credit default swap (CDS). Thomas wanted to estimate whether the CDS spread prevailing in the market was too high or too low relative to AMR’s credit prospects. He would use both structural and lean CDS pricing models and compare them to the prevailing CDS spreads in the market. More importantly, Thomas had to make a business recommendation.

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