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Introduction to Bond Markets provides a comprehensive, authoritative description of the bond markets. The contents describe and define bonds within the context of the capital markets and the different types of bonds that are traded. The Fourth Edition has been completely updated to reflect the many changes in the industry as a result of the financial crisis. In addition, four new chapters feature the causes of the financial crisis and the implications for bond investors, risk, return and diversification, securitization, and credit derivatives. Ideal for traders, fund managers, and students in the field.
Introduction to Bond Markets provides a comprehensive, authoritative description of the bond markets. The contents describe and define bonds within the context of the capital markets and the different types of bonds that are traded. The Fourth Edition has been completely updated to reflect the many changes in the industry as a result of the financial crisis. In addition, four new chapters feature the causes of the financial crisis and the implications for bond investors, risk, return and diversification, securitization, and credit derivatives. Ideal for traders, fund managers, and students in the field.
Über den Autor
Dr Moorad Choudhry is the former Head of Treasury at Europe Arab Bank plc in London. He is Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Fellow of the ifs-School of Finance and a Fellow of the Chartered Institute for Securities and Investment.
Inhaltsverzeichnis
Foreword.
Preface.
Preface to the First Edition.
About the author.
1 INTRODUCTION TO BONDS.
Description.
Outline of market participants.
Bond analysis.
Financial arithmetic: the time value of money.
Present value and discounting.
Discount factors and boot-strapping the discount function.
Bond pricing and yield: the traditional approach.
Bond pricing.
Bond yield.
Accrued interest.
Clean and dirty bond prices.
Day-count conventions.
Illustrating bond yield using Excel spreadsheets.
Bibliography.
2 THE YIELD CURVE, SPOT AND FORWARD YIELDS.
The yield curve.
Yield-to-maturity yield curve.
The par yield curve.
The zero-coupon (or spot) yield curve.
The forward yield curve.
Theories of the yield curve.
Spot rates.
Discount factors and the discount function.
The boot-strapping method: deriving the theoretical zero-coupon (spot) rate curve.
Mathematical relationship.
Implied forward rates.
Understanding forward rates.
The term structure of interest rates.
Bibliography.
3 BOND INSTRUMENTS AND INTEREST-RATE RISK.
Duration, modified duration and convexity.
Duration.
Properties of Macaulay duration.
Modified duration.
Convexity.
Bibliography.
4 FLOATING-RATE NOTES AND OTHER BOND INSTRUMENTS.
Floating-rate notes.
Synthetic convertible note.
Description.
Investor benefits.
Interest differential notes.
Example of IDN.
Benefits to investors.
Convertible quanto note.
Example of Japanese equity note.
Bibliography.
5 THE MONEY MARKETS.
Introduction.
Securities quoted on a yield basis.
Money market deposits.
Certificates of deposit.
CD yields.
Securities quoted on a discount basis.
Treasury bills.
Banker's acceptances.
Eligible banker's acceptance.
Commercial paper.
Commercial paper programmes.
Commercial paper yields.
Asset-backed commercial paper.
Repo.
Definition.
The classic repo.
Examples of classic repo.
The sell/buy-back.
Examples of sell/buy-back.
Repo collateral.
Legal treatment.
Margin.
Variation margin.
5.A Currencies using money market year base of 365 days.
6 THE EUROBOND MARKET.
Eurobonds.
Foreign bonds.
Eurobond instruments.
Conventional bonds.
Floating rate notes.
Zero-coupon bonds.
Convertible bonds.
The issue process: market participants.
The borrowing parties.
The underwriting lead manager.
The co-lead manager.
Investors.
Fees, expenses and pricing.
Fees.
Expenses.
Pricing.
Issuing the bond.
The grey market.
Alternative issue procedures.
Covenants.
Trust services.
Depositary.
Paying agent.
Registrar.
Trustee.
Custodian.
Form of the bond.
Temporary global form.
Permanent global bond.
Definitive form.
Registered bonds.
Fiscal agent.
Listing agent.
Clearing systems.
Market associations.
International Capital Market Association.
Bloomberg screens.
Secondary market.
Settlement.
Bibliography.
7 CONVERTIBLE BONDS, MTNs AND WARRANTS.
Description.
Analysis.
Value and premium issues.
Zero-coupon convertibles.
Warrants.
Medium-term notes.
MTN programme.
Shelf registration.
Credit rating.
Secondary market.
Issuers and investors.
MTNs and corporate bonds.
8 CREDIT RATINGS.
Credit ratings.
Purpose of credit ratings.
Formal credit ratings.
Credit rating agencies and the 2007-2008 financial market crash.
9 INFLATION-LINKED BONDS.
Basic concepts.
Choice of index.
Indexation lag.
Coupon frequency.
Type of indexation.
Index-linked bond cash flows and yields.
TIPS cash flow calculations.
TIPS price and yield calculations.
Assessing yields on index-linked bonds.
Which to hold: indexed or conventional bonds?
Inflation-indexed derivatives.
Market instruments.
Applications.
Bibliography.
10 AN INTRODUCTION TO ASSET-BACKED SECURITIES.
The concept of securitisation.
Reasons for undertaking securitisation.
Benefits of securitisation to investors.
The process of securitisation.
Securitisation process.
SPV structures.
Credit enhancement.
Impact on balance sheet.
Credit rating.
Redemption mechanism.
Average life.
Illustrating the process of securitisation.
Securitisation post-credit crunch.
Bloomberg screens.
Bibliography.
11 INTRODUCTION TO DERIVATIVE INSTRUMENTS.
Interest-rate swaps.
Characteristics of IR swaps.
Swap spreads and the swap yield curve.
Swap duration.
Summary of IR swap.
Non-standard swaps.
Using swaps.
Cancelling a swap.
Zero-coupon swap pricing.
Hedging using bonds and swaps.
Swaptions.
Cross-currency swaps.
Bloomberg screens.
Futures contracts.
Description.
Bond futures contracts.
Futures pricing.
Arbitrage-free futures pricing.
Hedging using futures.
The hedge ratio.
Interest-rate options.
Introduction.
Definition.
Option terminology.
Option premium.
Pricing options.
Behaviour of option prices.
Using options in bond markets.
Hedging using bond options.
Exotic options.
Bibliography.
12 INTRODUCTION TO CREDIT DERIVATIVES.
Introduction.
Why use credit derivatives?
Classification of credit derivative instruments.
Definition of a credit event.
Asset swaps.
Credit default swaps.
Impact of the 2007-2008 credit crunch: new CDS contracts and the CDS 'Big Bang'.
Credit-linked notes.
Total return swaps.
Synthetic repo.
Reduction in credit risk.
Capital structure arbitrage.
The TRS as a funding instrument.
Credit options.
The CDS iTraxx index.
General applications of credit derivatives.
Use of credit derivatives by portfolio managers.
The credit default swap basis.
A negative basis.
The basis as market indicator.
Bibliography.
13 APPROACHES TO GOVERNMENT BOND TRADING AND YIELD ANALYSIS.
Introduction.
The determinants of yield.
Spread trade risk weighting.
Identifying yield spread trades.
Coupon spreads.
Butterfly trades.
Basic concepts.
Putting on the trade.
Yield gain.
Convexity gain.
Bloomberg screens.
Bond spreads and relative value.
Bond spreads.
Summary of a fund manager's approach to value creation.
Bibliography.
14 RISK MANAGEMENT AND VALUE-AT-RISK.
Characterising risk.
Risk management.
The risk management function.
Interest-rate risk.
Value-at-Risk.
Definition.
Calculation methods.
Validity of the variance-covariance (correlation) VaR estimate.
Assessment of VaR tool.
VaR methodology for credit risk.
Modelling VaR for credit risk.
Time horizon.
Applications of credit VaR.
Bibliography.
Glossary.
List of abbreviations.
Index.
Preface.
Preface to the First Edition.
About the author.
1 INTRODUCTION TO BONDS.
Description.
Outline of market participants.
Bond analysis.
Financial arithmetic: the time value of money.
Present value and discounting.
Discount factors and boot-strapping the discount function.
Bond pricing and yield: the traditional approach.
Bond pricing.
Bond yield.
Accrued interest.
Clean and dirty bond prices.
Day-count conventions.
Illustrating bond yield using Excel spreadsheets.
Bibliography.
2 THE YIELD CURVE, SPOT AND FORWARD YIELDS.
The yield curve.
Yield-to-maturity yield curve.
The par yield curve.
The zero-coupon (or spot) yield curve.
The forward yield curve.
Theories of the yield curve.
Spot rates.
Discount factors and the discount function.
The boot-strapping method: deriving the theoretical zero-coupon (spot) rate curve.
Mathematical relationship.
Implied forward rates.
Understanding forward rates.
The term structure of interest rates.
Bibliography.
3 BOND INSTRUMENTS AND INTEREST-RATE RISK.
Duration, modified duration and convexity.
Duration.
Properties of Macaulay duration.
Modified duration.
Convexity.
Bibliography.
4 FLOATING-RATE NOTES AND OTHER BOND INSTRUMENTS.
Floating-rate notes.
Synthetic convertible note.
Description.
Investor benefits.
Interest differential notes.
Example of IDN.
Benefits to investors.
Convertible quanto note.
Example of Japanese equity note.
Bibliography.
5 THE MONEY MARKETS.
Introduction.
Securities quoted on a yield basis.
Money market deposits.
Certificates of deposit.
CD yields.
Securities quoted on a discount basis.
Treasury bills.
Banker's acceptances.
Eligible banker's acceptance.
Commercial paper.
Commercial paper programmes.
Commercial paper yields.
Asset-backed commercial paper.
Repo.
Definition.
The classic repo.
Examples of classic repo.
The sell/buy-back.
Examples of sell/buy-back.
Repo collateral.
Legal treatment.
Margin.
Variation margin.
5.A Currencies using money market year base of 365 days.
6 THE EUROBOND MARKET.
Eurobonds.
Foreign bonds.
Eurobond instruments.
Conventional bonds.
Floating rate notes.
Zero-coupon bonds.
Convertible bonds.
The issue process: market participants.
The borrowing parties.
The underwriting lead manager.
The co-lead manager.
Investors.
Fees, expenses and pricing.
Fees.
Expenses.
Pricing.
Issuing the bond.
The grey market.
Alternative issue procedures.
Covenants.
Trust services.
Depositary.
Paying agent.
Registrar.
Trustee.
Custodian.
Form of the bond.
Temporary global form.
Permanent global bond.
Definitive form.
Registered bonds.
Fiscal agent.
Listing agent.
Clearing systems.
Market associations.
International Capital Market Association.
Bloomberg screens.
Secondary market.
Settlement.
Bibliography.
7 CONVERTIBLE BONDS, MTNs AND WARRANTS.
Description.
Analysis.
Value and premium issues.
Zero-coupon convertibles.
Warrants.
Medium-term notes.
MTN programme.
Shelf registration.
Credit rating.
Secondary market.
Issuers and investors.
MTNs and corporate bonds.
8 CREDIT RATINGS.
Credit ratings.
Purpose of credit ratings.
Formal credit ratings.
Credit rating agencies and the 2007-2008 financial market crash.
9 INFLATION-LINKED BONDS.
Basic concepts.
Choice of index.
Indexation lag.
Coupon frequency.
Type of indexation.
Index-linked bond cash flows and yields.
TIPS cash flow calculations.
TIPS price and yield calculations.
Assessing yields on index-linked bonds.
Which to hold: indexed or conventional bonds?
Inflation-indexed derivatives.
Market instruments.
Applications.
Bibliography.
10 AN INTRODUCTION TO ASSET-BACKED SECURITIES.
The concept of securitisation.
Reasons for undertaking securitisation.
Benefits of securitisation to investors.
The process of securitisation.
Securitisation process.
SPV structures.
Credit enhancement.
Impact on balance sheet.
Credit rating.
Redemption mechanism.
Average life.
Illustrating the process of securitisation.
Securitisation post-credit crunch.
Bloomberg screens.
Bibliography.
11 INTRODUCTION TO DERIVATIVE INSTRUMENTS.
Interest-rate swaps.
Characteristics of IR swaps.
Swap spreads and the swap yield curve.
Swap duration.
Summary of IR swap.
Non-standard swaps.
Using swaps.
Cancelling a swap.
Zero-coupon swap pricing.
Hedging using bonds and swaps.
Swaptions.
Cross-currency swaps.
Bloomberg screens.
Futures contracts.
Description.
Bond futures contracts.
Futures pricing.
Arbitrage-free futures pricing.
Hedging using futures.
The hedge ratio.
Interest-rate options.
Introduction.
Definition.
Option terminology.
Option premium.
Pricing options.
Behaviour of option prices.
Using options in bond markets.
Hedging using bond options.
Exotic options.
Bibliography.
12 INTRODUCTION TO CREDIT DERIVATIVES.
Introduction.
Why use credit derivatives?
Classification of credit derivative instruments.
Definition of a credit event.
Asset swaps.
Credit default swaps.
Impact of the 2007-2008 credit crunch: new CDS contracts and the CDS 'Big Bang'.
Credit-linked notes.
Total return swaps.
Synthetic repo.
Reduction in credit risk.
Capital structure arbitrage.
The TRS as a funding instrument.
Credit options.
The CDS iTraxx index.
General applications of credit derivatives.
Use of credit derivatives by portfolio managers.
The credit default swap basis.
A negative basis.
The basis as market indicator.
Bibliography.
13 APPROACHES TO GOVERNMENT BOND TRADING AND YIELD ANALYSIS.
Introduction.
The determinants of yield.
Spread trade risk weighting.
Identifying yield spread trades.
Coupon spreads.
Butterfly trades.
Basic concepts.
Putting on the trade.
Yield gain.
Convexity gain.
Bloomberg screens.
Bond spreads and relative value.
Bond spreads.
Summary of a fund manager's approach to value creation.
Bibliography.
14 RISK MANAGEMENT AND VALUE-AT-RISK.
Characterising risk.
Risk management.
The risk management function.
Interest-rate risk.
Value-at-Risk.
Definition.
Calculation methods.
Validity of the variance-covariance (correlation) VaR estimate.
Assessment of VaR tool.
VaR methodology for credit risk.
Modelling VaR for credit risk.
Time horizon.
Applications of credit VaR.
Bibliography.
Glossary.
List of abbreviations.
Index.
Details
| Erscheinungsjahr: | 2010 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Seiten: | 480 |
| Inhalt: | 472 S. |
| ISBN-13: | 9780470687246 |
| ISBN-10: | 047068724X |
| Sprache: | Englisch |
| Herstellernummer: | 14568724000 |
| Einband: | Kartoniert / Broschiert |
| Autor: | Choudhry, Moorad |
| Auflage: | 4th edition |
| Hersteller: | John Wiley & Sons |
| Maße: | 229 x 152 x 26 mm |
| Von/Mit: | Moorad Choudhry |
| Erscheinungsdatum: | 10.09.2010 |
| Gewicht: | 0,692 kg |
Über den Autor
Dr Moorad Choudhry is the former Head of Treasury at Europe Arab Bank plc in London. He is Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Fellow of the ifs-School of Finance and a Fellow of the Chartered Institute for Securities and Investment.
Inhaltsverzeichnis
Foreword.
Preface.
Preface to the First Edition.
About the author.
1 INTRODUCTION TO BONDS.
Description.
Outline of market participants.
Bond analysis.
Financial arithmetic: the time value of money.
Present value and discounting.
Discount factors and boot-strapping the discount function.
Bond pricing and yield: the traditional approach.
Bond pricing.
Bond yield.
Accrued interest.
Clean and dirty bond prices.
Day-count conventions.
Illustrating bond yield using Excel spreadsheets.
Bibliography.
2 THE YIELD CURVE, SPOT AND FORWARD YIELDS.
The yield curve.
Yield-to-maturity yield curve.
The par yield curve.
The zero-coupon (or spot) yield curve.
The forward yield curve.
Theories of the yield curve.
Spot rates.
Discount factors and the discount function.
The boot-strapping method: deriving the theoretical zero-coupon (spot) rate curve.
Mathematical relationship.
Implied forward rates.
Understanding forward rates.
The term structure of interest rates.
Bibliography.
3 BOND INSTRUMENTS AND INTEREST-RATE RISK.
Duration, modified duration and convexity.
Duration.
Properties of Macaulay duration.
Modified duration.
Convexity.
Bibliography.
4 FLOATING-RATE NOTES AND OTHER BOND INSTRUMENTS.
Floating-rate notes.
Synthetic convertible note.
Description.
Investor benefits.
Interest differential notes.
Example of IDN.
Benefits to investors.
Convertible quanto note.
Example of Japanese equity note.
Bibliography.
5 THE MONEY MARKETS.
Introduction.
Securities quoted on a yield basis.
Money market deposits.
Certificates of deposit.
CD yields.
Securities quoted on a discount basis.
Treasury bills.
Banker's acceptances.
Eligible banker's acceptance.
Commercial paper.
Commercial paper programmes.
Commercial paper yields.
Asset-backed commercial paper.
Repo.
Definition.
The classic repo.
Examples of classic repo.
The sell/buy-back.
Examples of sell/buy-back.
Repo collateral.
Legal treatment.
Margin.
Variation margin.
5.A Currencies using money market year base of 365 days.
6 THE EUROBOND MARKET.
Eurobonds.
Foreign bonds.
Eurobond instruments.
Conventional bonds.
Floating rate notes.
Zero-coupon bonds.
Convertible bonds.
The issue process: market participants.
The borrowing parties.
The underwriting lead manager.
The co-lead manager.
Investors.
Fees, expenses and pricing.
Fees.
Expenses.
Pricing.
Issuing the bond.
The grey market.
Alternative issue procedures.
Covenants.
Trust services.
Depositary.
Paying agent.
Registrar.
Trustee.
Custodian.
Form of the bond.
Temporary global form.
Permanent global bond.
Definitive form.
Registered bonds.
Fiscal agent.
Listing agent.
Clearing systems.
Market associations.
International Capital Market Association.
Bloomberg screens.
Secondary market.
Settlement.
Bibliography.
7 CONVERTIBLE BONDS, MTNs AND WARRANTS.
Description.
Analysis.
Value and premium issues.
Zero-coupon convertibles.
Warrants.
Medium-term notes.
MTN programme.
Shelf registration.
Credit rating.
Secondary market.
Issuers and investors.
MTNs and corporate bonds.
8 CREDIT RATINGS.
Credit ratings.
Purpose of credit ratings.
Formal credit ratings.
Credit rating agencies and the 2007-2008 financial market crash.
9 INFLATION-LINKED BONDS.
Basic concepts.
Choice of index.
Indexation lag.
Coupon frequency.
Type of indexation.
Index-linked bond cash flows and yields.
TIPS cash flow calculations.
TIPS price and yield calculations.
Assessing yields on index-linked bonds.
Which to hold: indexed or conventional bonds?
Inflation-indexed derivatives.
Market instruments.
Applications.
Bibliography.
10 AN INTRODUCTION TO ASSET-BACKED SECURITIES.
The concept of securitisation.
Reasons for undertaking securitisation.
Benefits of securitisation to investors.
The process of securitisation.
Securitisation process.
SPV structures.
Credit enhancement.
Impact on balance sheet.
Credit rating.
Redemption mechanism.
Average life.
Illustrating the process of securitisation.
Securitisation post-credit crunch.
Bloomberg screens.
Bibliography.
11 INTRODUCTION TO DERIVATIVE INSTRUMENTS.
Interest-rate swaps.
Characteristics of IR swaps.
Swap spreads and the swap yield curve.
Swap duration.
Summary of IR swap.
Non-standard swaps.
Using swaps.
Cancelling a swap.
Zero-coupon swap pricing.
Hedging using bonds and swaps.
Swaptions.
Cross-currency swaps.
Bloomberg screens.
Futures contracts.
Description.
Bond futures contracts.
Futures pricing.
Arbitrage-free futures pricing.
Hedging using futures.
The hedge ratio.
Interest-rate options.
Introduction.
Definition.
Option terminology.
Option premium.
Pricing options.
Behaviour of option prices.
Using options in bond markets.
Hedging using bond options.
Exotic options.
Bibliography.
12 INTRODUCTION TO CREDIT DERIVATIVES.
Introduction.
Why use credit derivatives?
Classification of credit derivative instruments.
Definition of a credit event.
Asset swaps.
Credit default swaps.
Impact of the 2007-2008 credit crunch: new CDS contracts and the CDS 'Big Bang'.
Credit-linked notes.
Total return swaps.
Synthetic repo.
Reduction in credit risk.
Capital structure arbitrage.
The TRS as a funding instrument.
Credit options.
The CDS iTraxx index.
General applications of credit derivatives.
Use of credit derivatives by portfolio managers.
The credit default swap basis.
A negative basis.
The basis as market indicator.
Bibliography.
13 APPROACHES TO GOVERNMENT BOND TRADING AND YIELD ANALYSIS.
Introduction.
The determinants of yield.
Spread trade risk weighting.
Identifying yield spread trades.
Coupon spreads.
Butterfly trades.
Basic concepts.
Putting on the trade.
Yield gain.
Convexity gain.
Bloomberg screens.
Bond spreads and relative value.
Bond spreads.
Summary of a fund manager's approach to value creation.
Bibliography.
14 RISK MANAGEMENT AND VALUE-AT-RISK.
Characterising risk.
Risk management.
The risk management function.
Interest-rate risk.
Value-at-Risk.
Definition.
Calculation methods.
Validity of the variance-covariance (correlation) VaR estimate.
Assessment of VaR tool.
VaR methodology for credit risk.
Modelling VaR for credit risk.
Time horizon.
Applications of credit VaR.
Bibliography.
Glossary.
List of abbreviations.
Index.
Preface.
Preface to the First Edition.
About the author.
1 INTRODUCTION TO BONDS.
Description.
Outline of market participants.
Bond analysis.
Financial arithmetic: the time value of money.
Present value and discounting.
Discount factors and boot-strapping the discount function.
Bond pricing and yield: the traditional approach.
Bond pricing.
Bond yield.
Accrued interest.
Clean and dirty bond prices.
Day-count conventions.
Illustrating bond yield using Excel spreadsheets.
Bibliography.
2 THE YIELD CURVE, SPOT AND FORWARD YIELDS.
The yield curve.
Yield-to-maturity yield curve.
The par yield curve.
The zero-coupon (or spot) yield curve.
The forward yield curve.
Theories of the yield curve.
Spot rates.
Discount factors and the discount function.
The boot-strapping method: deriving the theoretical zero-coupon (spot) rate curve.
Mathematical relationship.
Implied forward rates.
Understanding forward rates.
The term structure of interest rates.
Bibliography.
3 BOND INSTRUMENTS AND INTEREST-RATE RISK.
Duration, modified duration and convexity.
Duration.
Properties of Macaulay duration.
Modified duration.
Convexity.
Bibliography.
4 FLOATING-RATE NOTES AND OTHER BOND INSTRUMENTS.
Floating-rate notes.
Synthetic convertible note.
Description.
Investor benefits.
Interest differential notes.
Example of IDN.
Benefits to investors.
Convertible quanto note.
Example of Japanese equity note.
Bibliography.
5 THE MONEY MARKETS.
Introduction.
Securities quoted on a yield basis.
Money market deposits.
Certificates of deposit.
CD yields.
Securities quoted on a discount basis.
Treasury bills.
Banker's acceptances.
Eligible banker's acceptance.
Commercial paper.
Commercial paper programmes.
Commercial paper yields.
Asset-backed commercial paper.
Repo.
Definition.
The classic repo.
Examples of classic repo.
The sell/buy-back.
Examples of sell/buy-back.
Repo collateral.
Legal treatment.
Margin.
Variation margin.
5.A Currencies using money market year base of 365 days.
6 THE EUROBOND MARKET.
Eurobonds.
Foreign bonds.
Eurobond instruments.
Conventional bonds.
Floating rate notes.
Zero-coupon bonds.
Convertible bonds.
The issue process: market participants.
The borrowing parties.
The underwriting lead manager.
The co-lead manager.
Investors.
Fees, expenses and pricing.
Fees.
Expenses.
Pricing.
Issuing the bond.
The grey market.
Alternative issue procedures.
Covenants.
Trust services.
Depositary.
Paying agent.
Registrar.
Trustee.
Custodian.
Form of the bond.
Temporary global form.
Permanent global bond.
Definitive form.
Registered bonds.
Fiscal agent.
Listing agent.
Clearing systems.
Market associations.
International Capital Market Association.
Bloomberg screens.
Secondary market.
Settlement.
Bibliography.
7 CONVERTIBLE BONDS, MTNs AND WARRANTS.
Description.
Analysis.
Value and premium issues.
Zero-coupon convertibles.
Warrants.
Medium-term notes.
MTN programme.
Shelf registration.
Credit rating.
Secondary market.
Issuers and investors.
MTNs and corporate bonds.
8 CREDIT RATINGS.
Credit ratings.
Purpose of credit ratings.
Formal credit ratings.
Credit rating agencies and the 2007-2008 financial market crash.
9 INFLATION-LINKED BONDS.
Basic concepts.
Choice of index.
Indexation lag.
Coupon frequency.
Type of indexation.
Index-linked bond cash flows and yields.
TIPS cash flow calculations.
TIPS price and yield calculations.
Assessing yields on index-linked bonds.
Which to hold: indexed or conventional bonds?
Inflation-indexed derivatives.
Market instruments.
Applications.
Bibliography.
10 AN INTRODUCTION TO ASSET-BACKED SECURITIES.
The concept of securitisation.
Reasons for undertaking securitisation.
Benefits of securitisation to investors.
The process of securitisation.
Securitisation process.
SPV structures.
Credit enhancement.
Impact on balance sheet.
Credit rating.
Redemption mechanism.
Average life.
Illustrating the process of securitisation.
Securitisation post-credit crunch.
Bloomberg screens.
Bibliography.
11 INTRODUCTION TO DERIVATIVE INSTRUMENTS.
Interest-rate swaps.
Characteristics of IR swaps.
Swap spreads and the swap yield curve.
Swap duration.
Summary of IR swap.
Non-standard swaps.
Using swaps.
Cancelling a swap.
Zero-coupon swap pricing.
Hedging using bonds and swaps.
Swaptions.
Cross-currency swaps.
Bloomberg screens.
Futures contracts.
Description.
Bond futures contracts.
Futures pricing.
Arbitrage-free futures pricing.
Hedging using futures.
The hedge ratio.
Interest-rate options.
Introduction.
Definition.
Option terminology.
Option premium.
Pricing options.
Behaviour of option prices.
Using options in bond markets.
Hedging using bond options.
Exotic options.
Bibliography.
12 INTRODUCTION TO CREDIT DERIVATIVES.
Introduction.
Why use credit derivatives?
Classification of credit derivative instruments.
Definition of a credit event.
Asset swaps.
Credit default swaps.
Impact of the 2007-2008 credit crunch: new CDS contracts and the CDS 'Big Bang'.
Credit-linked notes.
Total return swaps.
Synthetic repo.
Reduction in credit risk.
Capital structure arbitrage.
The TRS as a funding instrument.
Credit options.
The CDS iTraxx index.
General applications of credit derivatives.
Use of credit derivatives by portfolio managers.
The credit default swap basis.
A negative basis.
The basis as market indicator.
Bibliography.
13 APPROACHES TO GOVERNMENT BOND TRADING AND YIELD ANALYSIS.
Introduction.
The determinants of yield.
Spread trade risk weighting.
Identifying yield spread trades.
Coupon spreads.
Butterfly trades.
Basic concepts.
Putting on the trade.
Yield gain.
Convexity gain.
Bloomberg screens.
Bond spreads and relative value.
Bond spreads.
Summary of a fund manager's approach to value creation.
Bibliography.
14 RISK MANAGEMENT AND VALUE-AT-RISK.
Characterising risk.
Risk management.
The risk management function.
Interest-rate risk.
Value-at-Risk.
Definition.
Calculation methods.
Validity of the variance-covariance (correlation) VaR estimate.
Assessment of VaR tool.
VaR methodology for credit risk.
Modelling VaR for credit risk.
Time horizon.
Applications of credit VaR.
Bibliography.
Glossary.
List of abbreviations.
Index.
Details
| Erscheinungsjahr: | 2010 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Seiten: | 480 |
| Inhalt: | 472 S. |
| ISBN-13: | 9780470687246 |
| ISBN-10: | 047068724X |
| Sprache: | Englisch |
| Herstellernummer: | 14568724000 |
| Einband: | Kartoniert / Broschiert |
| Autor: | Choudhry, Moorad |
| Auflage: | 4th edition |
| Hersteller: | John Wiley & Sons |
| Maße: | 229 x 152 x 26 mm |
| Von/Mit: | Moorad Choudhry |
| Erscheinungsdatum: | 10.09.2010 |
| Gewicht: | 0,692 kg |
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