Analysing and Interpreting the Yield Curve

Inbunden, Engelska, 2019

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Beskrivning

Understand and interpret the global debt capital marketsNow in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market.Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve modelsGets you up to speed on the secured curveDescribes application of theoretical versus market curve relative value tradingExplains the concept of the risk-free rateAccessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.

Produktinformation

Utgivningsdatum:2019-04-26
Mått:150 x 231 x 28 mm
Vikt:680 g
Format:Inbunden
Språk:Engelska
Serie:Wiley Finance
Antal sidor:384
Upplaga:2
Förlag:John Wiley & Sons Inc
Medarbetare:Westcott,Christopher
ISBN:9781119141044

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap

Mer om författaren

DR. MOORAD CHOUDHRY is Head of Asset-Liability Management at Cambridge & Counties Bank in Leicester. He previously worked as a sovereign bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, a structured finance repo trader at KBC Financial Products, and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland.Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Institute of Directors, and a Freeman of the Worshipful Company of International Bankers.

Innehållsförteckning

Foreword ixPreface xiPreface to the First Edition xiiiAcknowledgments xvAbout the Author xviiPart 1 Introduction to the Yield Curve 3Chapter 1 The Yield Curve 5Chapter 2 A Further Look at Spot and Forward Rates 61Part 2 Yield Curve Modelling and Post-2008 Yield Curve Analytics 93Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts 95Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices 115Chapter 5 Interest Rate Models I 139Chapter 6 Interest Rate Models II 163Chapter 7 The Index-Linked Bond Yield Curve 181Chapter 8 Yield Curve Analytics in the Post-2008 Era 193Chapter 9 Negative Interest Rate Analytics 219Part 3 Fitting the Yield Curve 229Chapter 10 Estimating and Fitting the Yield Curve I 231Chapter 11 Estimating and Fitting the Yield Curve II 253Part 4 Yield Curves and Relative Value Trading 277Chapter 12 Yield Curves and Relative Value 279Chapter 13 Identifying Relative Value in the US Treasury Market: Acquiring New Benchmark Definitions from an Ancillary Yield Curve 291Appendix: Bond Yield Measurement 321Index 353