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MGT 440: Winter 2025 – Individual Assignment
Due on Friday, April 4
th, 2025 (11:59pm)
(Total Marks: 50)
There is a 5-page limit in the main write-up however you can include appendices in addition to the 5 pages. Your detailed calculations will be submitted in Excel as a separate appendix attachment.
Rotman Interactive Trader - Fixed Income 6 Case – Credit Risk (50 Marks)
For the RIT case you will need to provide evidence that your results are unique to your login ID. You can do this by providing a screenshot. Your RIT case will require applicable evidence of your results that can be embedded into the appendix. Any Excel work can be sent as a separate appendix attachment to Quercus. Please note that to prove your work is unique you should also provide a timestamp in your RIT screenshot.
- Please read the Case Brief, titled "Fixed Income 6 - Credit Risk".
- You are to build and apply a credit risk model in a fixed income market where corporate bonds are traded. You will use both a Structural Model and the Altman Z-Score to predict potential changes to the companies' credit ratings. You will identify and exploit mispricing opportunities to generate profit with the use of the credit risk model. You are to take positions in as many bonds to reduce idiosyncratic risks. Note: The RIT data can be dynamically linked to Excel to continuously update your model.
- Please show your best performing and worst performing results. Indicate why there was a significant difference and document what you have learned. Note: At the end of the simulation, a performance report is automatically generated for you. Please download this document as soon as you can before the next simulation starts.
- There are three key objectives to this case (please read the details as highlighted on pages 7 and 8 in the case brief):
1. Build a credit risk model2. Analyze the impact of news releases3. Manage exposure to market risk