LUISS

Rotman European Trading Competition

Cases

RETC 2016
The Rotman European Trading Competition @ LUISS will be showcasing a unique set of cases that stress different challenges faced by traders. The cases include commodities, equities, and derivatives and are designed to reward participant’s abilities to accurately price the securities and formulate profitable, risk adjusted trading strategies. Cases are run over many iterations in order reduce the element of variance across each team’s scores.

RETC Cases

Social Outcry

The opening event of the competition gives participants the first opportunity to make an impression on the sponsors, faculty members, and other teams in this fun introduction to the Rotman European Trading Competition. Each participant is trading against experienced professionals from the industry, trying to make his/her case against the professors, and showcasing his/her outcry skills by making fast and loud trading decisions.

Quantitative Outcry Trading Case

Building on the experience of the frantic Social Outcry market, this case will require teams to optimize their trading, analytical, and risk management skills. Participants will use news releases that give quantitative economic forecasts, as well as qualitative micro and macro data, to predict the futures market on the RT100 index. Analyzing macroeconomic indicators, participants should be able to gain an understanding of the impact of the factors on the index and generate profitable trades.

Electricity Trading Case

The ENEL Electricity Case challenges the ability of the participants to interact with one another in a closed supply and demand market for electricity. Electricity production and its consumption will form the framework for participants to engage in direct trade to meet each other’s objectives. The case will test each individual’s ability to understand sophisticated market dynamics and optimally perform his/her role, while stressing teamwork and communication.

Credit Risk Case

The Generali Credit Risk Case challenges participants to build and apply a credit risk model in a simulation where corporate bonds are traded. Participants will use both a Structural Model and the Altman Z-Score to predict potential changes to the companies’ credit ratings. Periodic news updates will require participants to make appropriate adjustments to the assumptions in their models and rebalance their portfolios accordingly. This case will test participants’ ability to develop a credit risk model, assess the impact of news releases on credit risk, and execute trading strategies accordingly to profit from mispricing opportunities.

Sales & Trader Case

The Sales & Trader Case challenges participants to put their critical thinking and analytical abilities to the test in an environment that requires them to evaluate the liquidity risk associated with different tender offers. Participants will be faced with multiple tender offers requiring participants to make rapid judgments on the profitability and subsequent execution of these offers. Profits can be generated by taking advantage of price premiums and discounts associated with the large tender offers compared to the market, and market-making opportunities.

Interest Rate Case

The EIB Institute Interest Rate Case challenges traders’ understanding of bond pricing based on news and benchmark interest rates derived from 4 non-tradable EIB zero-coupon bonds. Traders have to price 3 tradable coupon bonds based on the benchmark rates and news. The news, which will be released throughout the case, may have an impact on the benchmark rates, and thus on the fair prices of the tradable coupon bonds. Traders should forecast the impact of the news on the benchmark rates and exploit any bond mispricing opportunities to generate profits.

 

ENEL ELECTRICITY TRADING CASE: PRACTICE SESSIONS

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Date

Time

1

Monday, August 8th

10:00am EST

2

Wednesday, August 10th

10:00am EST

3

Saturday. August 13th

10:00am EST

4

Monday, August 15th

10:00am EST

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