Fixed Income Markets and Their Derivatives
Námskeið
- HAG230F Skuldabréf
Lýsing:
The 3e of this well-respected textbook continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. The book matches well with fixed income securities courses. The book's organization emphasizes institutions in the first part, analytics in the second, selected segments of fixed income markets in the third, and fixed income derivatives in the fourth.
This enables instructors to customize the material to suit their course structure and the mathematical ability of their students. * New material on Credit Default Swaps, Collateralized Debt Obligations, and an intergrated discussion of the Credit Crisis have been added. *Online Resources for instructors on password protected website provides worked out examples for each chapter. * A detailed description of all key financial terms is provided in a glossary at the back of the book.
Annað
- Höfundur: Sundaresan, Suresh
- Útgáfa:3
- Útgáfudagur: 03/2009
- Blaðsíður: 456
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- Format:Page Fidelity
- ISBN 13: 9780123704719
- ISBN 10: 0123704715
Efnisyfirlit
- Front Cover
- Fixed Income Markets and Their Derivatives
- Copyright Page
- Contents
- Preface
- Acknowledgments
- PART 1 INSTITUTIONS AND CONVENTIONS
- CHAPTER 1 Overview of Fixed Income Markets
- 1.1 Overview of Debt Contracts
- 1.1.1 Cash-Flow Rights of Debt Securities
- 1.1.2 Primary and Secondary Markets
- 1.2 Players and Their Objectives
- 1.2.1 Governments
- 1.2.2 Central Banks
- 1.2.3 Federal Agencies and Government-Sponsored Enterprises (GSEs)
- 1.2.4 Corporations and Banks
- 1.2.5 Financial Institutions and Dealers
- 1.2.6 "Buy-Side" Institutions
- 1.2.7 Households
- 1.3 Classification of Debt Securities
- 1.4 Risk of Debt Securities
- 1.4.1 Interest Rate Risk
- 1.4.2 Credit Risk
- 1.4.3 Liquidity Risk
- 1.4.4 Contractual Risk
- 1.4.5 Inflation Risk
- 1.4.6 Event Risk
- 1.4.7 Tax Risk
- 1.4.8 FX Risk
- 1.5 Return-Risk History
- Suggested References and Readings
- 1.1 Overview of Debt Contracts
- CHAPTER 2 Price-Yield Conventions
- 2.1 Concepts of Compounding and Discounting
- 2.1.1 Future Values
- 2.1.2 Annuities
- 2.1.3 Present Values
- 2.2. Yield to Maturity or Internal Rate of Return
- 2.2.1 Semiannual Compounding
- 2.3. Prices in Practice
- 2.4. Prices and Yields of T-Bills
- 2.4.1 Yield of a T-Bill with n < 182 Days
- 2.4.2 Yield of a T-Bill with n > 182 Days
- 2.5. Prices and Yields of T-Notes and T-Bonds
- 2.6. Price-Yield Relation Is Convex
- 2.7. Conventions in Other Markets
- Suggested References and Readings
- 2.1 Concepts of Compounding and Discounting
- CHAPTER 3 Federal Reserve (Central Bank) and Fixed Income Markets
- 3.1 Central Banks
- 3.2 Monetary Policies
- 3.2.1 Open Market Operations
- 3.2.2 The Discount Window
- 3.2.3 Reserve Requirements
- 3.3 Fed Funds Rates
- 3.4 Payments Systems and Conduct of Auctions
- 3.5 Fed's Actions to Stem the Credit Crunch of 2007–2008
- Suggested Readings and References
- CHAPTER 4 Organization and Transparency of Fixed Income Markets
- 4.1 Introduction
- 4.2 Primary Markets
- 4.2.1 Treasury Markets
- 4.2.2 Corporate Debt
- 4.3 Interdealer Brokers
- 4.4 Secondary Markets
- 4.4.1 Dealer Market Transparency
- 4.4.2 Indicators of Transparency
- 4.4.3 Evidence on Trading Characteristics
- 4.4.4 Matrix Prices and Execution Costs
- 4.5 Evolution of Secondary Markets
- Suggested Readings and References
- CHAPTER 5 Financing Debt Securities: Repurchase (Repo) Agreements
- 5.1 Repo and Reverse Repo Contracts
- 5.1.1 Repo Contract Defined
- 5.1.2 Reverse Repo Contract Defined
- 5.1.3 Repo as Secured Lending
- 5.2 Real-Life Features
- 5.3 Long and Short Positions Using Repo and Reverse Repo
- 5.4 General Collateral Repo Agreement
- 5.4.1 GC Repo Contract and Market
- 5.4.2 GC Repo Rates
- 5.5 Special Collateral Repo Agreement
- 5.6 Fails in Repo Market
- 5.7 Developments in Repo Markets
- Suggested Readings and References
- 5.1 Repo and Reverse Repo Contracts
- CHAPTER 6 Auctions of Treasury Debt Securities
- 6.1 Benchmark Auctions Schedule
- 6.1.1 Auctions of Money Market Instruments
- 6.1.2 Auctions of Treasury Notes
- 6.1.3 Auctions of Treasury Bonds
- 6.1.4 Auctions of TIPS
- 6.2 Conduct of Treasury Auctions
- 6.2.1 Auction Announcement
- 6.2.2 When-Issued Trading and Book Building
- 6.2.3 Auction Mechanisms
- 6.2.4 Uniform Price Auctions
- 6.2.5 Discriminatory Auctions
- 6.3 Auction Theory and Empirical Evidence
- 6.3.1 Winner's Curse and Bid Shading
- 6.4 Auction Cycles and Financing Rates
- Suggested Readings and References
- 6.1 Benchmark Auctions Schedule
- CHAPTER 1 Overview of Fixed Income Markets
- CHAPTER 7 Bond Mathematics: DV01, Duration, and Convexity
- 7.1 DV01/PVBP or Price Risk
- 7.2 Duration
- 7.2.1 Excel Applications
- 7.2.2 Properties of Duration and PVBP
- 7.2.3 PVBP and Duration of Portfolios
- 7.3 Trading and Hedging
- 7.3.1 Spread Trades: Curve Steepening or Curve Flattening Trades
- 7.4 Convexity
- 7.4.1 Bullet versus Barbell Securities (Butterfly Trade)
- 7.5 Effective Duration and Effective Convexity
- Suggested Readings and References
- CHAPTER 8 Yield Curve and the Term Structure
- 8.1 Yield-Curve Analysis
- 8.1.1 Principal Components Analysis of Yield Curve
- 8.1.2 Volatility of Short and Long Rates
- 8.1.3 Price-Based Versus Yield-Based Volatility
- 8.1.4 Economic News Announcements and Volatility
- 8.1.5 Yield Versus Duration
- 8.1.6 Coupon and Vintage Effects
- 8.2 Term Structure
- 8.2.1 Implied Zeroes
- 8.2.2 Bootstrapping Procedure
- 8.2.3 Par Bond Yield Curve
- 8.3 Forward Rates of Interest
- 8.4 STRIPS Markets
- 8.5 Extracting Zeroes in Practice
- Suggested References and Readings
- 8.1 Yield-Curve Analysis
- CHAPTER 9 Models of Yield Curve and the Term Structure
- 9.1 Introduction
- 9.2 Modeling Mean-Reverting Interest Rates
- 9.2.1 The Vasicek Model
- 9.2.2 The Cox, Ingersoll, and Ross Model
- 9.3 Calibration to Market Data
- 9.3.1 The Black, Derman, and Toy Model
- 9.3.2 General Implementation of the BDT Approach
- 9.4 Interest Rate Derivatives
- 9.5 A Review of One-Factor Models
- Suggested Readings and References
- CHAPTER 10 Modeling Credit Risk and Corporate Debt Securities
- 10.1 Defaults, Business Cycles, and Recoveries
- 10.2 Rating Agencies
- 10.3 Structural Models of Default
- 10.3.1 Probability of Default and Loss Given Default
- 10.3.2 Market Prices
- 10.4 Implementing Structural Models: The KMV Approach
- 10.4.1 Subordinated Corporate Debt
- 10.4.2 Safety Covenants
- 10.5 Costs of Financial Distress and Corporate Debt Pricing
- 10.6 Reduced-Form Models
- 10.7 Credit Spreads Puzzle
- Suggested Readings and References
- CHAPTER 11 Mortgages, Federal Agencies, and Agency Debt
- 11.1 Overview of Mortgage Contracts
- 11.1.1 Lenders' Risks
- 11.1.1.1 Default Risk
- 11.1.1.2 Prepayments
- 11.1.1.3 Interest Rate Risk
- 11.1.1 Lenders' Risks
- 11.1 Overview of Mortgage Contracts
- 11.2 Types of Mortgages
- 11.2.1 Fixed-Rate Mortgages (FRMs)
- 11.2.2 Adjustable-Rate Mortgages (ARMs)
- 11.2.3 Agency Mortgages
- 11.2.4 Jumbo Mortgages
- 11.2.5 Alt-A Mortgages
- 11.2.6 Subprime Mortgages
- 11.3 Mortgage Cash Flows and Yields
- 11.4 Federal Agencies
- 11.5 Federal Agency Debt Securities
- 11.5.1 Empirical Evidence on Spreads
- Suggested Readings and References
- 12.1 Overview of Mortgage-Backed Securities
- 12.1.1 Securitization
- 12.1.2 Guarantees and Credit Enhancement
- 12.1.3 Creation of an Agency MBS
- 12.1.4 Cash Flows and Market Conventions
- 12.2 Risks: Prepayments
- 12.2.1 Measuring Prepayments
- 12.2.1.1 Twelve-Year Retirement
- 12.2.1.2 Constant Monthly Mortality
- 12.2.2 FHA Experience
- 12.2.3 PSA Experience
- 12.2.4 Mortgage Cash Flows with Prepayments
- 12.2.1 Measuring Prepayments
- 12.3 Factors Affecting Prepayments
- 12.3.1 Refinancing Incentive
- 12.3.2 Seasonality Factor
- 12.3.3 Age of the Mortgage
- 12.3.4 Family Circumstances
- 12.3.5 Housing Prices
- 12.3.6 Mortgage Status (Premium Burnout)
- 12.3.7 Mortgage Term
- 12.4 Valuation Framework
- 12.5 Valuation of Pass-Through MBS
- 12.5.1 Empirical Behavior of an OAS
- 12.6 REMICS
- 12.6.1 REMIC Structure
- 12.6.2 Sequential Structure
- 12.6.3 Planned Amortization Class Structure
- Suggested Readings and References
- 13.1 Overview of Inflation-Indexed Debt
- 13.2 Role of Indexed Debt
- 13.3 Design of TIPS
- 13.3.1 Choice of Index
- 13.3.2 Indexation Lag
- 13.3.3 Maturity Composition of TIPS
- 13.3.4 Strippability of TIPS
- 13.3.5 Tax Treatment
- 13.4 Cash-Flow Structure
- 13.4.1 Indexed Zero Coupon Structure
- 13.4.2 Principal-Indexed Structure
- 13.4.3 Interest-Indexed Structure
- 13.5 Real Yields, Nominal Yields, and Break-Even Inflation
- 13.6 Cash Flows, Prices, Yields, and Risks of TIPS
- 13.7 Investor's Perspective
- 13.7.1 Conclusion
- Suggested Readings and References
- CHAPTER 14 Derivatives on Overnight Interest Rates
- 14.1 Overview
- 14.2 Fed Funds Futures Contracts
- 14.2.1 Recovering Market Expectations of Future Actions by the FOMC
- 14.3 Overnight Index Swaps (OIS)
- 14.3.1 Contract Specifications
- 14.4 Valuation of OIS
- 14.5 OIS Spreads with Other Money Market Yields
- Suggested Readings and References
- CHAPTER 15 Eurodollar Futures Contracts
- 15.1 Eurodollar Markets and LIBOR
- 15.1.1 LIBOR Fixing
- 15.1.2 Calculating Yields in the Cash Market
- 15.2 Eurodollar Futures Markets and LIBOR
- 15.2.1 Eurodollar Futures Settlement to Yields
- 15.3 Deriving Swap Rates from ED Futures
- 15.3.1 Eurodollar Futures Versus Swap Markets
- 15.4 Intermarket Spreads
- 15.5 Options on ED Futures
- 15.5.1 Caps, Floors, and Collars on LIBOR
- 15.6 Valuation of Caps
- Suggested Readings and References
- 15.1 Eurodollar Markets and LIBOR
- CHAPTER 16 Interest-Rate Swaps
- 16.1 Swaps and Swap-Related Products and Terminology
- 16.1.1 Asset Swaps
- 16.1.2 Diversity of Swap Contracts
- 16.2 Valuation of Swaps
- 16.2.1 Forward Swap
- 16.2.2 ED Futures and Swap Pricing
- 16.2.3 Convexity Adjustment
- 16.3 Swap Spreads
- 16.3.1 Liquidity Factor or the Systemic Risk Factor
- 16.3.2 Credit Risk in the Bank Sector
- 16.3.3 Agency Activities
- 16.4 Risk Management
- 16.4.1 Management of the Credit Risk of Swaps
- 16.5 Swap Bid Rate, Offer Rate, and Bid-Offer Spreads
- 16.6 Swaptions
- 16.6.1 Swaption Parity Relation
- 16.7 Conclusion
- Suggested Readings and References
- 16.1 Swaps and Swap-Related Products and Terminology
- CHAPTER 17 Treasury Futures Contracts
- 17.1 Forward Contracts Defined
- 17.2 Futures Contracts Defined
- 17.3 Design of Contractual Features
- 17.3.1 Delivery Specifications
- 17.3.2 Price Limits
- 17.3.3 Margins
- 17.4 Futures Versus Forwards
- 17.5 Treasury Futures Contracts
- 17.5.1 Delivery Options in Treasury Note Futures
- 17.5.2 Conversion Factor
- 17.5.3 Seller's Option in the September 2007 Contract
- 17.5.3.1 Basis in T-Bond Futures
- 17.5.4 Determination of Delivery
- 17.5.5 Basis after Carry, or Net Basis
- 17.5.6 Implied Repo Rate
- 17.5.7 Duration Bias in Deliveries
- 17.5.8 Hedging Applications
- Suggested Readings and References
- CHAPTER 18 Credit Default Swaps: Single-Name, Portfolio, and Indexes
- 18.1 Credit Default Swaps
- 18.2 Players
- 18.3 Growth of CDS Market and Evolution
- 18.4 Restructuring and Deliverables
- 18.5 Settlement on Credit Events
- 18.6 Valuation of CDS
- 18.6.1 CDS Spreads, Probability of Default, and Recovery Rates
- 18.6.2 Applications
- 18.7 Credit-Linked Notes
- 18.8 Credit Default Indexes
- Suggested Readings and References
- CHAPTER 19 Structured Credit Products: Collateralized Debt Obligations
- 19.1 Collateralized Debt Obligations
- 19.1.1 CDO Structure and Players
- 19.1.2 Types of Cash CDOs
- 19.1.3 Synthetic CDOs
- 19.2 Analysis of CDO Structure
- 19.2.1 Leverage
- 19.2.2 Extent of Subordination, Overcollateralization, and Waterfalls
- 19.2.3 Quality of Collateral Pool and Rating
- 19.3 Growth of the CDO Market
- 19.4 Credit Default Indexes (CDX)
- 19.5 CDX Tranches
- 19.6 Valuation of CDOs
- Suggested Readings and References
- 19.1 Collateralized Debt Obligations
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