A unique, authoritative, and comprehensive treatment of fixed income markets
Fixed Income Trading and Risk Management: The Complete Guide delivers a comprehensive and innovative exposition of fixed income markets. Written by European Central Bank portfolio manager Alexander During, this book takes a practical view of how several different national fixed income markets operate in detail.
The book presents common theoretical models but adds a lot of information on the actually observed behavior of real markets. You'll benefit from the book's:
* Fulsome overview of money, credit, and monetary policy
* Description of cash instruments, inflation-linked debt, and credit claims
* Analysis of derivative instruments, standard trading strategies, and data analysis
* In-depth focus on risk management in fixed income markets
Perfect for new and junior staff in financial institutions working in sales and trading, risk management, back office operations, and portfolio management positions, Fixed Income Trading and Risk Management also belongs on the bookshelves of research analysts and postgraduate students in finance, economics, or MBA programs.
Autorentext
ALEXANDER DÜRING is Adviser in the Bond Markets and International Operations division of the European Central Bank, working on the implementation of the ECB's Asset Purchase Programme and market analytics. Before joining the ECB, he was Managing Director in Fixed Income Research at Deutsche Bank where he worked in London, Frankfurt and Tokyo. He holds a Doctor of Philosophy in Theoretical Physics and is a CFA¯® charterholder.
Klappentext
MASTER THE BASIC AND ADVANCED TOPICS IN INTERNATIONAL FIXED INCOME TRADING WITH THIS COMPREHENSIVE GUIDE
In Fixed Income Trading and Risk Management: The Complete Guide, fixed income strategist and portfolio manager Alexander Düring offers readers a comprehensive and complete treatment of fixed income markets around the world. Drawing on his international experience working in finance and portfolio management, the author examines markets across the world, from the United States to Japan. He explains the differences between those markets, as well as the commonalities that link them.
The book delivers essential material on foundational topics in the area of fixed income trading, including introductions to money, credit, and monetary policy. It goes on to discuss more advanced subjects, such as inflation-linked debt, cash instruments, defaultable claims, derivatives, trading strategies, risk management, and data analysis. Readers will appreciate the author's descriptions of several international markets, as well as his approachable and accessible style that allows those relatively new to the subject to quickly understand the complex nature of global finance.
Ideal for young professionals starting out in the finance industry, Fixed Income Trading and Risk Management also deserves space on the shelves of more seasoned professionals seeking to brush up on advanced topics in fixed income markets. Students in MBA programs, as well as postgraduate students in finance and economics will also benefit from the book.
Inhalt
Foreword xv
Part One Preliminaries
Chapter 1 Introduction 3
Chapter 2 Money, Credit and Banking 9
2.1 Abstract properties of money 9
2.2 Early forms of money 11
2.2.1 Paper money and bank notes 14
2.3 Fiat money 15
2.3.1 Fiat money and trade 15
Chapter 3 Banks 17
3.1 Banks and bank money creation 17
3.2 Categories of banks 18
Chapter 4 Bank Money Creation 20
4.1 Single-bank introduction 20
4.2 Extension to multiple banks 22
4.3 Transfer settlement in central bank money 25
4.4 Trade and non-bank credit 28
4.4.1 Non-cash trading instruments 29
4.4.2 Discounting 30
4.4.3 Delineating payment instruments from money 30
4.5 Digital token monies and cryptocurrencies 31
4.6 The money multiplier 32
Chapter 5 The Role of Central Banks 34
5.1 Introduction 34
5.2 Monetary financing 39
Chapter 6 Monetary Policy 40
6.1 Objectives of monetary policy 40
6.2 Monetary policy under inflation targeting 43
6.3 Central bank operational frameworks 46
6.3.1 Symmetric interest rate corridors 47
6.3.2 Asymmetric lending corridors 49
Chapter 7 Operational Frameworks 50
7.1 Control of the money supply 50
7.2 Liquidity provision: Rediscounting, outright purchases and Lombard lending 51
7.3 Liquidity absorption: Asset sales and reverse repos 52
7.4 The impact of FX operations 52
Chapter 8 Interaction between Frameworks and Policy 54
8.1 Volatility 54
8.2 Collateral 55
Chapter 9 Non-Standard Monetary Policy 57
9.1 Quantitative easing 57
9.1.1 The Monetary Effect of Large-Scale Asset Purchases 61
9.1.2 Market liquidity and central bank asset purchases 62
9.1.3 Helicopter money 63
9.1.4 Choice of methods and assets 65
9.2 Practical experience 67
9.2.1 QE, money multipliers and FX 67
9.2.2 Bank of Japan 2013 QE experience 71
9.2.3 Lessons from the initial BoJ quantitative easing 72
9.3 Negative interest rates 73
9.4 The specific situation of the ECB 74
Part Two Cash Instruments
Chapter 10 Contract and Instrument Types 79
10.1 Securities and bilateral contracts 79
10.2 Security identifiers 81
10.2.1 ISIN codes 81
10.2.2 CUSIP codes 83
Chapter 11 Trading and Settlement 85
11.1 Trading 85
11.1.1 Trading and price formation 85
11.1.2 Trading venues 86
11.1.3 The OTC trade lifecycle 87
The trade inquiry 89
Negotiation 89
Agreement 90
Recording 91
Enrichment 92
Reporting 92
Pre-confirmation 93
Allocation 93
Confirmation 94
Settlement instructions 94
Fails 95
Reconciliation 96
11.1.4 The exchange trade cycle 96
11.1.5 Trading in competition versus single dealer inquiries and orders 97
Mistrades 98
11.2 Settlement 98
11.2.1 Settlement mechanisms 99
11.2.2 Settlement conventions 99
Chapter 12 Central Clearing 101
12.1 Direct clearing 101
12.2 Indirect clearing 106
12.2.1 Agency clearing 106
12.2.2 Principal clearing 107
12.2.3 Hybrid clearing models 107
12.3 Contract value adjustments (xVA) 108
12.3.1 Credit Value Adjustment 108
12.3.2 Funding Value Adjustment 109
12.3.3 Debit Value Adjustment 110
Chapter 13 The Money Market 111
13.1 Money market instruments 111&l...