What Determines U.S. Swap Spreads?

What Determines U.S. Swap Spreads?
Author :
Publisher : World Bank Publications
Total Pages : 60
Release :
ISBN-10 : 0821363387
ISBN-13 : 9780821363386
Rating : 4/5 (87 Downloads)

Synopsis What Determines U.S. Swap Spreads? by : 3/4dm̀ Kb̤or

What Determines U.S. Swap Spreads?

What Determines U.S. Swap Spreads?
Author :
Publisher : World Bank Publications
Total Pages : 64
Release :
ISBN-10 : STANFORD:36105121856483
ISBN-13 :
Rating : 4/5 (83 Downloads)

Synopsis What Determines U.S. Swap Spreads? by : Ádám Kóbor

References p. 45-47.

Advanced Fixed Income Analysis

Advanced Fixed Income Analysis
Author :
Publisher : Elsevier
Total Pages : 268
Release :
ISBN-10 : 9780080999418
ISBN-13 : 0080999417
Rating : 4/5 (18 Downloads)

Synopsis Advanced Fixed Income Analysis by : Moorad Choudhry

Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. - Presents practitioner-level theories and applications, never available in textbooks - Focuses on financial markets, not mathematics - Covers relative value investing, returns analysis, and risk estimation

Interest Rate Markets

Interest Rate Markets
Author :
Publisher : John Wiley & Sons
Total Pages : 373
Release :
ISBN-10 : 9781118017791
ISBN-13 : 111801779X
Rating : 4/5 (91 Downloads)

Synopsis Interest Rate Markets by : Siddhartha Jha

How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models

Trading and Pricing Financial Derivatives

Trading and Pricing Financial Derivatives
Author :
Publisher : Walter de Gruyter GmbH & Co KG
Total Pages : 273
Release :
ISBN-10 : 9781547401215
ISBN-13 : 1547401214
Rating : 4/5 (15 Downloads)

Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle

Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Determinants of Emerging Market Sovereign Bond Spreads

Determinants of Emerging Market Sovereign Bond Spreads
Author :
Publisher : International Monetary Fund
Total Pages : 28
Release :
ISBN-10 : 9781455252855
ISBN-13 : 1455252859
Rating : 4/5 (55 Downloads)

Synopsis Determinants of Emerging Market Sovereign Bond Spreads by : Iva Petrova

This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.

Fixed Income Securities

Fixed Income Securities
Author :
Publisher : John Wiley and Sons
Total Pages : 480
Release :
ISBN-10 : 9780470304020
ISBN-13 : 0470304022
Rating : 4/5 (20 Downloads)

Synopsis Fixed Income Securities by : Frank J. Fabozzi

A Comprehensive Guide to All Aspects of Fixed Income Securities Fixed Income Securities, Second Edition sets the standard for a concise, complete explanation of the dynamics and opportunities inherent in today's fixed income marketplace. Frank Fabozzi combines all the various aspects of the fixed income market, including valuation, the interest rates of risk measurement, portfolio factors, and qualities of individual sectors, into an all-inclusive text with one cohesive voice. This comprehensive guide provides complete coverage of the wide range of fixed income securities, including: * U.S. Treasury securities * Agencies * Municipal securities * Asset-backed securities * Corporate and international bonds * Mortgage-backed securities, including CMOs * Collateralized debt obligations (CDOs) For the financial professional who needs to understand the fundamental and unique characteristics of fixed income securities, Fixed Income Securities, Second Edition offers the most up-to-date facts and formulas needed to navigate today's fast-changing financial markets. Increase your knowledge of this market and enhance your financial performance over the long-term with Fixed Income Securities, Second Edition. www.wileyfinance.com

Evolution of Bilateral Swap Lines

Evolution of Bilateral Swap Lines
Author :
Publisher : International Monetary Fund
Total Pages : 40
Release :
ISBN-10 : 9781513590134
ISBN-13 : 1513590138
Rating : 4/5 (34 Downloads)

Synopsis Evolution of Bilateral Swap Lines by : Michael Perks

This paper makes contributions to the study of bilateral swap lines (BSLs). First, this paper fills a BSL information gap by constructing a comprehensive database of BSLs based on publicly available information, including after the onset of the COVID-19 pandemic. Second, the paper provides the results of regression analysis exploring several empirical questions that were not covered in previous studies. The paper documents the evolution of BSLs into an important part of the Global Financial Safety Net (GFSN), with some helping to stabilize financial market during both the Global Financial Crisis (GFC) and the COVID-19 pandemic. Analysis suggests that countries on the recipient side of BSLs are more likely to sign and renew BSLs designed to alleviate balance of payments needs as their external position weakens. U.S. Federal Reserve BSLs appear to have been effective at stabilizing financial market conditions during the COVID-19 pandemic.

Encyclopedia of Finance

Encyclopedia of Finance
Author :
Publisher : Springer Science & Business Media
Total Pages : 861
Release :
ISBN-10 : 9780387262840
ISBN-13 : 0387262849
Rating : 4/5 (40 Downloads)

Synopsis Encyclopedia of Finance by : Cheng-Few Lee

This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.