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Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook
Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook
Autore Subramani R. Venkata
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2011
Descrizione fisica 1 online resource (743 p.)
Disciplina 332.63/2044
332.632044
657.8333
Soggetto topico Fixed-income securities
Portfolio management
ISBN 1-119-19946-8
1-283-20358-8
9786613203588
0-470-82904-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Accounting for Investments; Contents; Foreword; Introduction; Preface; Acknowledgments; Chapter 1: Fixed Income Securities-Theory; Learning Objectives; Fixed Income Securities in General; Basics of the Bond Market; Types of issues and special characteristics; Bond coupon; Bond maturity; Bond pricing; Yield measures; Duration; Corporate bonds; Municipal bonds; Zero coupon bonds; Risks of investment in bonds; Definition of Financial Instruments; Financial asset; Financial liability; Equity instrument; Derivative; Categories of Financial Instruments-An Overview; Amendment made through IFRS 9
US GAAP proposals Fair value through profit or loss (FVPL); Available-for-sale; Held-to-Maturity (HTM); Questions; Theory questions; Chapter 2: Fixed Income Securities-Fair Value through Profit or Loss; Learning Objectives; Meaning and Definition of Fixed Income Securities; Classification of Debt Securities as ""Fair Value through Profit or Loss""; Fair value concept; Financial assets and financial liabilities held for trading; Fixed income security as a hedged item; Accounting for Fixed Income Securities; Trade Life Cycle for Fixed Income Securities-Fair Value through Profit or Loss
Additional events in the trade life cycle Buy the bond; Accrued interest purchased; Pay the contracted amount for the bond; Corporate Action; Coupon accrual; Reversal of accrued interest purchased; Coupon receipt; On accounting for interest based on amortization; Accrual of interest on valuation date; Valuation of bond on valuation date; Reversal of interest accrued; On selling the bond (liquidation); Interest on bonds sold; Receive the consideration; Ascertain the profit/loss on the sale; FX revaluation process; FX translation process; Additional Events in the Trade Life Cycle
Early redemption Maturity; Write off; Complete Solution to the Illustration; FX Revaluation and FX Translation Process; Functional currency, foreign currency and presentation currency; Primary economic environment; Primary factors; Additional factors; Additional factors for a foreign operation; Foreign currency transaction; Initial recognition; Monetary and non-monetary items; Carrying amount-non-monetary assets; Exchange differences on monetary items; Exchange differences on non-monetary items; FX revaluation process; FX translation process; FX revaluation entries; FX translation entries
Consummated FX translation entry Transient FX translation entries; Distinction between Capital Gain and Currency Gain; Illustration 1: Investment in Bonds held for Trading Purposes; Bond-trading-Problem 1-USD; Solution to Illustration 1: Investment in Bonds held for Trading Purposes; Problem 1: Investment in Bonds (Trading) in Foreign Currency (AUD); Accounting Entries in Functional Currency; Summary; Questions; Theory questions; Objective questions; Journal questions; 1. Bond-trading-problem-USD; 2. Bond-trading-problem-GBP; 3. Bond-trading-problem-JPY
Chapter 3: Fixed Income Securities-Available-for-Sale
Record Nr. UNINA-9910139630303321
Subramani R. Venkata  
Chichester, : Wiley, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook
Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives [[electronic resource] ] : Fixed Income and Interest Rate Derivatives - A Practitioner's Handbook
Autore Subramani R. Venkata
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2011
Descrizione fisica 1 online resource (743 p.)
Disciplina 332.63/2044
332.632044
657.8333
Soggetto topico Fixed-income securities
Portfolio management
ISBN 1-119-19946-8
1-283-20358-8
9786613203588
0-470-82904-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Accounting for Investments; Contents; Foreword; Introduction; Preface; Acknowledgments; Chapter 1: Fixed Income Securities-Theory; Learning Objectives; Fixed Income Securities in General; Basics of the Bond Market; Types of issues and special characteristics; Bond coupon; Bond maturity; Bond pricing; Yield measures; Duration; Corporate bonds; Municipal bonds; Zero coupon bonds; Risks of investment in bonds; Definition of Financial Instruments; Financial asset; Financial liability; Equity instrument; Derivative; Categories of Financial Instruments-An Overview; Amendment made through IFRS 9
US GAAP proposals Fair value through profit or loss (FVPL); Available-for-sale; Held-to-Maturity (HTM); Questions; Theory questions; Chapter 2: Fixed Income Securities-Fair Value through Profit or Loss; Learning Objectives; Meaning and Definition of Fixed Income Securities; Classification of Debt Securities as ""Fair Value through Profit or Loss""; Fair value concept; Financial assets and financial liabilities held for trading; Fixed income security as a hedged item; Accounting for Fixed Income Securities; Trade Life Cycle for Fixed Income Securities-Fair Value through Profit or Loss
Additional events in the trade life cycle Buy the bond; Accrued interest purchased; Pay the contracted amount for the bond; Corporate Action; Coupon accrual; Reversal of accrued interest purchased; Coupon receipt; On accounting for interest based on amortization; Accrual of interest on valuation date; Valuation of bond on valuation date; Reversal of interest accrued; On selling the bond (liquidation); Interest on bonds sold; Receive the consideration; Ascertain the profit/loss on the sale; FX revaluation process; FX translation process; Additional Events in the Trade Life Cycle
Early redemption Maturity; Write off; Complete Solution to the Illustration; FX Revaluation and FX Translation Process; Functional currency, foreign currency and presentation currency; Primary economic environment; Primary factors; Additional factors; Additional factors for a foreign operation; Foreign currency transaction; Initial recognition; Monetary and non-monetary items; Carrying amount-non-monetary assets; Exchange differences on monetary items; Exchange differences on non-monetary items; FX revaluation process; FX translation process; FX revaluation entries; FX translation entries
Consummated FX translation entry Transient FX translation entries; Distinction between Capital Gain and Currency Gain; Illustration 1: Investment in Bonds held for Trading Purposes; Bond-trading-Problem 1-USD; Solution to Illustration 1: Investment in Bonds held for Trading Purposes; Problem 1: Investment in Bonds (Trading) in Foreign Currency (AUD); Accounting Entries in Functional Currency; Summary; Questions; Theory questions; Objective questions; Journal questions; 1. Bond-trading-problem-USD; 2. Bond-trading-problem-GBP; 3. Bond-trading-problem-JPY
Chapter 3: Fixed Income Securities-Available-for-Sale
Record Nr. UNINA-9910818326503321
Subramani R. Venkata  
Chichester, : Wiley, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced fixed-income valuation tools / Narasimhan Jegadeesh ; Bruce Tuckman
Advanced fixed-income valuation tools / Narasimhan Jegadeesh ; Bruce Tuckman
Autore JEGADEESH, Narasimhan
Pubbl/distr/stampa New York [etc.] : Wiley & Sons, 2000
Descrizione fisica XIV, 414 p. : ill. ; 25 cm
Disciplina 332.632044
Altri autori (Persone) TUCKMAN, Bruce
Collana Wiley frontiers in finance
Soggetto topico Modelli matematici
ISBN 0-471-25419-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISA-990005863820203316
JEGADEESH, Narasimhan  
New York [etc.] : Wiley & Sons, 2000
Materiale a stampa
Lo trovi qui: Univ. di Salerno
Opac: Controlla la disponibilità qui
Analisi degli investimenti finanziari / Russell J. Fuller, James L. Farrell jr.; presentazione di Attilio Ventura
Analisi degli investimenti finanziari / Russell J. Fuller, James L. Farrell jr.; presentazione di Attilio Ventura
Autore Fuller, Russel J.
Pubbl/distr/stampa Milano, : McGraw-Hill, 1993
Descrizione fisica XXI, 618 p. ; 24 cm
Disciplina 332.632
332.632044
Altri autori (Persone) Farrell, James Laurel <1934- >
Collana Studio e professione, . Finanza
Soggetto topico Titoli di rendita
Investimenti - Analisi
Titoli di stato
ISBN 8838632057
9788838632051
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione ita
Titolo uniforme
Record Nr. UNISANNIO-MIL0153907
Fuller, Russel J.  
Milano, : McGraw-Hill, 1993
Materiale a stampa
Lo trovi qui: Univ. del Sannio
Opac: Controlla la disponibilità qui
Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie
Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie
Autore Smith Darren
Pubbl/distr/stampa Chichester, West Sussex, England : , : Wiley, , 2010
Descrizione fisica 1 online resource (678 p.)
Disciplina 332.63/2
332.632
332.632044
Collana Wiley finance
Soggetto topico Collateralized debt obligations - Mathematical models
Credit derivatives - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 1-119-20643-X
0-470-66585-8
0-470-97167-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Cover""; ""Half Title page""; ""Title page""; ""Copyright page""; ""Dedication""; ""Foreword""; ""Acknowledgments""; ""Chapter 1: Introduction""; ""1.1 To Excel or Not to Excel?""; ""1.2 Existing Tools and Software""; ""Chapter 2: What are Cash CDOs?""; ""2.1 Types of CDOs""; ""2.2 Description of a Cash Flow CDO""; ""2.3 Life Cycle of a Cash CDO""; ""2.4 Contribution to the “Credit Crunch�""; ""Chapter 3: Introduction to Modelling""; ""3.1 Goals in Modelling""; ""3.2 Modelling Philosophies and Trade-Offs""; ""3.3 Flexibility""; ""3.4 Organization and Layout of a Model""
""3.5 Life-Cycle Issues: Building an Adaptable Model""""Chapter 4: Prerequisites to Cash Flow Modelling""; ""4.1 Modelling Dates""; ""4.2 Interest Rate Curve Modelling""; ""4.3 Present Value Modelling""; ""Chapter 5: Getting Started""; ""5.1 Create the Input Sheet""; ""5.2 The Value of Labelling""; ""Chapter 6: Modelling Assets""; ""6.1 Initial Asset Pool: Rep Line Modelling vs. Actual Assets""; ""6.2 The Collateral Sheet in the Cash Flow Model""; ""6.3 Modelling Defaults and Recoveries""; ""6.4 Amortization""; ""6.5 Modelling Reinvestment""; ""6.6 Reinvestment Cohorts""; ""6.7 Accounts""
""6.8 Timing Models vs. Actual Timing""""6.9 Simple Warehouse Modelling""; ""Chapter 7: Basic Waterfall Modelling""; ""7.1 Basic Waterfalls""; ""7.2 Layout and Design""; ""7.3 Avoiding Negative Values""; ""7.4 Timing Modelled vs. Actual Timing""; ""7.5 Liabilities Cash Flows""; ""7.6 Fees and Expenses Cash Flows""; ""7.7 Interest Waterfall""; ""7.8 Interest Waterfall (Available Funds After Payment)""; ""7.9 Interest Waterfall Calculations""; ""7.10 Principal Waterfall""; ""7.11 Principal Waterfall (Available Funds After Payment)""; ""7.12 Principal Waterfall Calculations""
""7.13 Adding Over-Collateralization Tests""""7.14 Adding Interest Coverage Tests""; ""7.15 Technical Issues with Coverage Tests""; ""Chapter 8: Outputs Sheet""; ""8.1 Purpose of the Outputs Sheet""; ""8.2 Collating Waterfall Outputs""; ""8.3 Present Value""; ""8.4 Duration""; ""8.5 Weighted Average Life and Internal Rate of Return""; ""8.6 Equity Analysis""; ""8.7 Basic Auditing""; ""Chapter 9: Moody�s Rating Agency Methodology""; ""9.1 Introduction to Agency Methodologies""; ""9.2 The BET Approach""; ""9.3 Evaluating the Collateral""
""9.4 Creating the Moody�s Sheet and Related References in the Cash Flow Model""""9.5 Default Profiles""; ""9.6 Interest Rate Profiles""; ""9.7 Running the Analysis""; ""9.8 Variations on the BET""; ""9.9 2009 Methodology Update""; ""Chapter 10: Standard & Poor�s Rating Methodology""; ""10.1 The S&P Approach""; ""10.2 Evaluating the Collateral""; ""10.3 Modelling Recovery Rates""; ""10.4 CDO Evaluator""; ""10.5 Default Rates""; ""10.6 Interest Rate Stresses""; ""10.7 Amortization""; ""10.8 Additional S&P Modelling Criteria""; ""10.9 Building the S&P Sheet and Related References""
""10.10 Running the Stress Scenarios""
Record Nr. UNINA-9910138956503321
Smith Darren  
Chichester, West Sussex, England : , : Wiley, , 2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie
Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie
Autore Smith Darren
Pubbl/distr/stampa Chichester, West Sussex, England : , : Wiley, , 2010
Descrizione fisica 1 online resource (678 p.)
Disciplina 332.63/2
332.632
332.632044
Collana Wiley finance
Soggetto topico Collateralized debt obligations - Mathematical models
Credit derivatives - Mathematical models
ISBN 1-119-20643-X
0-470-66585-8
0-470-97167-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Cover""; ""Half Title page""; ""Title page""; ""Copyright page""; ""Dedication""; ""Foreword""; ""Acknowledgments""; ""Chapter 1: Introduction""; ""1.1 To Excel or Not to Excel?""; ""1.2 Existing Tools and Software""; ""Chapter 2: What are Cash CDOs?""; ""2.1 Types of CDOs""; ""2.2 Description of a Cash Flow CDO""; ""2.3 Life Cycle of a Cash CDO""; ""2.4 Contribution to the “Credit Crunch�""; ""Chapter 3: Introduction to Modelling""; ""3.1 Goals in Modelling""; ""3.2 Modelling Philosophies and Trade-Offs""; ""3.3 Flexibility""; ""3.4 Organization and Layout of a Model""
""3.5 Life-Cycle Issues: Building an Adaptable Model""""Chapter 4: Prerequisites to Cash Flow Modelling""; ""4.1 Modelling Dates""; ""4.2 Interest Rate Curve Modelling""; ""4.3 Present Value Modelling""; ""Chapter 5: Getting Started""; ""5.1 Create the Input Sheet""; ""5.2 The Value of Labelling""; ""Chapter 6: Modelling Assets""; ""6.1 Initial Asset Pool: Rep Line Modelling vs. Actual Assets""; ""6.2 The Collateral Sheet in the Cash Flow Model""; ""6.3 Modelling Defaults and Recoveries""; ""6.4 Amortization""; ""6.5 Modelling Reinvestment""; ""6.6 Reinvestment Cohorts""; ""6.7 Accounts""
""6.8 Timing Models vs. Actual Timing""""6.9 Simple Warehouse Modelling""; ""Chapter 7: Basic Waterfall Modelling""; ""7.1 Basic Waterfalls""; ""7.2 Layout and Design""; ""7.3 Avoiding Negative Values""; ""7.4 Timing Modelled vs. Actual Timing""; ""7.5 Liabilities Cash Flows""; ""7.6 Fees and Expenses Cash Flows""; ""7.7 Interest Waterfall""; ""7.8 Interest Waterfall (Available Funds After Payment)""; ""7.9 Interest Waterfall Calculations""; ""7.10 Principal Waterfall""; ""7.11 Principal Waterfall (Available Funds After Payment)""; ""7.12 Principal Waterfall Calculations""
""7.13 Adding Over-Collateralization Tests""""7.14 Adding Interest Coverage Tests""; ""7.15 Technical Issues with Coverage Tests""; ""Chapter 8: Outputs Sheet""; ""8.1 Purpose of the Outputs Sheet""; ""8.2 Collating Waterfall Outputs""; ""8.3 Present Value""; ""8.4 Duration""; ""8.5 Weighted Average Life and Internal Rate of Return""; ""8.6 Equity Analysis""; ""8.7 Basic Auditing""; ""Chapter 9: Moody�s Rating Agency Methodology""; ""9.1 Introduction to Agency Methodologies""; ""9.2 The BET Approach""; ""9.3 Evaluating the Collateral""
""9.4 Creating the Moody�s Sheet and Related References in the Cash Flow Model""""9.5 Default Profiles""; ""9.6 Interest Rate Profiles""; ""9.7 Running the Analysis""; ""9.8 Variations on the BET""; ""9.9 2009 Methodology Update""; ""Chapter 10: Standard & Poor�s Rating Methodology""; ""10.1 The S&P Approach""; ""10.2 Evaluating the Collateral""; ""10.3 Modelling Recovery Rates""; ""10.4 CDO Evaluator""; ""10.5 Default Rates""; ""10.6 Interest Rate Stresses""; ""10.7 Amortization""; ""10.8 Additional S&P Modelling Criteria""; ""10.9 Building the S&P Sheet and Related References""
""10.10 Running the Stress Scenarios""
Record Nr. UNINA-9910830510403321
Smith Darren  
Chichester, West Sussex, England : , : Wiley, , 2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Contingent convertible bonds, corporate hybrid securities and preferred shares : instruments, regulation, management / / Marcin Liberadzki and Kamil Liberadzki
Contingent convertible bonds, corporate hybrid securities and preferred shares : instruments, regulation, management / / Marcin Liberadzki and Kamil Liberadzki
Autore Liberadzki Marcin
Edizione [1st ed. 2019.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019
Descrizione fisica 1 online resource (243 pages)
Disciplina 332.632044
Soggetto topico Investment banking
Securities
Banks and banking
Investments and Securities
Banking
ISBN 3-319-92501-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 1. Contingent Convertibles Issued by EEA Banks -- 2. CoCo Bonds and Bail-In Mechanism -- 3. The Contingent Convertibles Pricing Models: CoCos Credit Spread Analysis -- 4. Non-EEA Banks’ and Insurers’ CoCos -- 5. Corporate Hybrid Securities and Preferred Shares.
Record Nr. UNINA-9910337682803321
Liberadzki Marcin  
Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Euro, Bot & Bond : quando, come e perché scegliere i titoli a reddito fisso / Virginio Schiavetti
Euro, Bot & Bond : quando, come e perché scegliere i titoli a reddito fisso / Virginio Schiavetti
Autore Schiavetti, Virginio <1965- >
Pubbl/distr/stampa Milano, : Il sole 24 ore, 2001
Descrizione fisica 60 p. ; 19 cm
Disciplina 332.632044
Collana [Collana dedicata all'arrivo dell'euro]
Soggetto topico Titoli a reddito fisso
EURO
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione ita
Altri titoli varianti Euro, bot e bond
Record Nr. UNISANNIO-UBO1493561
Schiavetti, Virginio <1965- >  
Milano, : Il sole 24 ore, 2001
Materiale a stampa
Lo trovi qui: Univ. del Sannio
Opac: Controlla la disponibilità qui
Fixed income investing : a classic in a time of increased uncertainty / / Thomas Poufinas
Fixed income investing : a classic in a time of increased uncertainty / / Thomas Poufinas
Autore Poufinas Thomas
Pubbl/distr/stampa Cham, Switzerland : , : Springer, , [2022]
Descrizione fisica 1 online resource (748 pages)
Disciplina 332.632044
Soggetto topico Fixed-income securities
ISBN 9783030879228
9783030879211
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- Preface -- References -- Acknowledgements -- Contents -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Introductory Notions -- 1.1.1 Basic Steps in the Investment Process -- 1.1.2 Return -- 1.1.3 Risk -- 1.1.4 Risk-Return Ratio -- 1.1.5 Benchmark -- 1.1.6 Differentiation -- 1.1.7 Types of Assets -- 1.1.8 Participants of the Financial System -- 1.2 Bonds -- 1.2.1 What Is a Bond? -- 1.2.2 Bond Indenture -- 1.2.3 Bond Categories -- 1.2.4 History of Bonds -- 1.3 Stock -- 1.3.1 Common Stock -- 1.3.2 Preferred Stock -- 1.4 Markets -- 1.4.1 Money Markets -- 1.4.2 Fixed Income Capital Market (or Bond Market) -- 1.4.3 Equity Markets -- 1.4.4 Derivative Markets -- 1.4.4.1 Futures Markets -- 1.4.4.2 Options Markets -- 1.5 Primary and Secondary Markets -- 1.5.1 Primary Market -- 1.5.2 Secondary Market -- 1.6 Issuers -- 1.7 Intermediaries -- 1.8 The Role of Central Banks -- 1.8.1 FED -- 1.8.1.1 Structure of the Fed -- 1.8.1.2 Functions of the FED -- 1.8.1.3 Monetary Policy Objectives -- 1.8.1.4 Conducting Monetary Policy -- 1.8.1.5 Quantitative Easing (QE) -- 1.8.2 ECB -- 1.8.2.1 Objective of the European System of Central Banks -- 1.8.2.2 The Eurosystem Monetary Policy Strategy -- 1.8.2.3 The Operational Framework of the Eurosystem -- 1.8.2.4 Monetary Policy Instruments and Procedures -- 1.8.2.5 Open Market Operations -- 1.8.2.6 Standing Facilities -- 1.8.2.7 Minimum Reserves -- 1.8.2.8 Asset Purchase Programs -- 1.8.2.9 Pandemic Emergency Purchase Program -- 1.8.2.10 Counterparties -- 1.8.2.11 Eligible Assets -- 1.8.2.12 Organization of the European System of Central Banks (ESCB) -- Exercises -- Exercise 1 -- Exercise 2 -- Exercise 3 -- Exercise 4 -- Exercise 5 -- Exercise 6 -- Exercise 7 -- Exercise 8 -- Exercise 9 -- Exercise 10 -- References -- 2 Bonds -- 2.1 Basic Bond Characteristics, Concepts and Notions.
2.1.1 Basic Bond Characteristics -- 2.1.2 Basic Bond Concepts and Notions -- 2.2 Bond-Related Risks -- 2.2.1 Ratings and Rating Agencies -- 2.2.2 Factors Affecting the Credit Rating -- 2.3 Bond Valuation -- 2.3.1 The Relation Between Price and Present Value -- 2.3.2 Bid Price and Ask Price -- 2.3.3 The Relation Between Quoted Price and Cash Price -- 2.3.4 The Relation Between Price and Face Value -- 2.4 Bond Yields -- 2.4.1 Yield to Maturity (YTM) -- 2.4.2 Effective Yield (EY) -- 2.4.3 Current Yield (CY) -- 2.4.4 Realized Compound Yield (RCY) -- 2.4.5 Simple Yield to Maturity (SY) -- 2.4.6 Yield to Call -- 2.4.7 Yield to Put -- 2.4.8 Yield to Worst -- 2.5 Holding Period Return -- 2.5.1 The Relation Between Price and Present Value-Revisited -- 2.6 Bond Price Movements -- 2.7 Government Bonds -- 2.8 Corporate Bonds -- 2.9 Other Bond Types -- 2.9.1 Municipal Bonds -- 2.9.2 Mortgage-Backed Securities -- 2.9.3 Money Market Instruments -- Exercises -- Exercise 1 -- Exercise 2 -- Exercise 3 -- Exercise 4 -- Exercise 5 -- Exercise 6 -- Exercise 7 -- Exercise 8 -- Exercise 9 -- Exercise 10 -- Exercise 11 -- Exercise 12 -- Exercise 13 -- Exercise 14 -- Exercise 15 -- References -- 3 Term Structure of Interest Rates -- 3.1 Definition -- 3.2 Relation Between Spot and Forward Rates -- 3.2.1 Annual Compounding -- 3.2.2 Multi-Period Compounding Per Year -- 3.2.3 Continuous Compounding -- 3.3 Relation of the Term Structure with the Bond Yields -- 3.3.1 Types of Yield Curves -- 3.4 Bond Valuation, Pricing and Return -- 3.4.1 Bond Valuation -- 3.4.1.1 Annual Compounding -- 3.4.1.2 Multi-Period Compounding Per Year -- 3.4.1.3 Continuous Compounding -- 3.4.2 Bond Pricing and Yield to Maturity -- 3.4.3 Bond Return -- 3.5 Construction of the Term Structure -- 3.6 The Moves and the Uncertainty of (the Term Structure of) Interest Rates.
3.7 Approaches and Theories of the Term Structure Evolution Over Time -- 3.7.1 The Expectation Hypothesis Theory -- 3.7.2 The Liquidity Preference Theory -- 3.7.3 The Market Segmentation Theory -- 3.7.4 The Preferred Habitat Theory -- 3.8 Formation of the Term Structure -- 3.9 Determinants of the Interest Rates -- 3.10 Stochastic Interest Rate Models -- 3.10.1 Continuous-Time Term Structure Models -- 3.10.1.1 Equilibrium Models -- 3.10.1.2 No-arbitrage Models -- 3.10.2 Discrete-Time Term-Structure Models -- 3.10.2.1 Standard or Basic Trinomial Tree -- 3.10.2.2 General Trinomial Tree-The Model of Hull and White -- Exercises -- Exercise 1 -- Exercise 2 -- Exercise 3 -- Exercise 4 -- Exercise 5 -- Exercise 6 -- Exercise 7 -- Exercise 8 -- Exercise 9 -- Exercise 10 -- References -- 4 Fixed Income Portfolio Management -- 4.1 Interest Rate Risk -- 4.1.1 Price Sensitivity to Interest Rate Moves -- 4.1.2 Duration -- 4.1.3 Properties of Duration -- 4.1.4 Uses of Duration -- 4.1.5 Interpretation of Duration -- 4.1.6 Duration Between Coupon Payment Dates -- 4.1.7 Impact of Coupon Payment and Time Lapse on Duration -- 4.1.8 Portfolio Duration -- 4.1.9 Duration for Multi-Period Compounding -- 4.1.10 Duration for Continuous Compounding -- 4.1.11 Convexity -- 4.1.12 Uses of Convexity -- 4.1.13 Convexity Between Coupon Payment Dates -- 4.1.14 Portfolio Convexity -- 4.1.15 Duration for Non-Horizontal Yield Curve -- 4.1.15.1 Quasi-Modified Duration -- 4.1.15.2 Fisher-Weil Duration -- 4.1.16 Other Measures -- 4.1.16.1 Time to Maturity -- 4.1.16.2 Weighted Average Maturity -- 4.1.16.3 Weighted Average Cash Flow -- 4.1.16.4 Price Value of a Basis Point -- 4.1.16.5 Yield Value of a Price Change -- 4.2 Passive Bond Portfolio Management -- 4.2.1 Bond Indexing -- 4.2.1.1 Potential Problems of Bond Indexing -- 4.2.1.2 Potential Solutions to Bond-Indexing Problems.
4.2.2 Immunization -- 4.2.3 Net Worth Immunization -- 4.2.4 Target Date Immunization -- 4.2.5 Cash Flow Matching -- 4.2.5.1 Potential Problems of Cash Flow Matching -- 4.2.6 Concerns Relevant to Immunization -- 4.3 Active Bond Portfolio Management -- 4.3.1 Interest Rate Forecasting -- 4.3.2 Identification of Mispriced Bonds -- 4.3.3 Taxonomy of Active Bond Portfolio Management Strategies -- 4.3.3.1 Substitution Swap -- 4.3.3.2 Intermarket Spread Swap -- 4.3.3.3 Rate Anticipation Swap -- 4.3.3.4 Pure Yield Pickup Swap -- 4.3.4 Horizon Analysis -- 4.4 Combination of Active and Passive Bond Portfolio Management -- Exercises -- Exercise 1 -- Exercise 2 -- Exercise 3 -- Exercise 4 -- Exercise 5 -- Exercise 6 -- Exercise 7 -- Exercise 8 -- Exercise 9 -- Exercise 10 -- Exercise 11 -- Exercise 12 -- Exercise 13 -- Exercise 14 -- Exercise 15 -- References -- 5 Interest Rate Derivatives -- 5.1 Repos -- 5.1.1 Reverse Repo -- 5.2 Interest Rate Forward Contracts -- 5.2.1 Forward Rate Agreements -- 5.2.2 Forward Contract on a Bond -- 5.3 Interest Rate Futures -- 5.3.1 Futures Contract on a Single Bond Issue -- 5.3.2 Bond Futures -- 5.3.3 T-Bill Futures -- 5.3.4 Eurodollar Futures -- 5.3.5 Duration Hedging -- 5.4 Interest Rate Swaps -- 5.4.1 Main Reasons for Entering a Swap -- 5.4.2 Swap Financial Intermediation -- 5.4.3 Interest Rate Swap Valuation -- 5.4.4 Currency Swaps -- 5.5 Interest Rate Options -- 5.5.1 Interest Rate Option Pricing with the Use of Black's Model -- 5.5.2 Bond Option Pricing with Continuous-Time Models -- 5.5.2.1 Zero-Coupon Bond Options -- 5.5.2.2 Coupon-Bearing Bond Options -- 5.5.3 Bond Option Pricing with Discrete-Time Models -- 5.5.3.1 Pricing Interest Rate Options with a Trinomial Tree -- 5.5.3.2 Pricing Bond Options with the Hull & -- White Trinomial Tree -- 5.6 Bonds with Embedded Options -- 5.6.1 Callable Bonds.
5.6.2 Puttable Bonds -- 5.6.3 Option-Adjusted Spread -- 5.7 Mortgage Backed Securities -- 5.7.1 Interest Only and Principal Only MBS -- 5.7.2 MBS Cash Flows and Valuation -- 5.8 Collateralized Mortgage Obligations -- 5.9 Asset Backed Securities -- 5.9.1 Collateralized Debt Obligations -- 5.9.2 Collateralized Bond Obligations -- 5.9.3 Collateralized Loan Obligations -- 5.10 Swaptions -- 5.10.1 Valuation of Swaptions -- 5.11 Caps and Floors -- 5.11.1 Caps -- 5.11.1.1 Valuation of Caps -- 5.11.2 Floors -- 5.11.2.1 Valuation of Floors -- 5.11.3 Collars -- Exercises -- Exercise 1 -- Exercise 2 -- Exercise 3 -- Exercise 4 -- Exercise 5 -- Exercise 6 -- Exercise 7 -- Exercise 8 -- Exercise 9 -- Exercise 10 -- Exercise 11 -- Exercise 12 -- Exercise 13 -- Exercise 14 -- Exercise 15 -- Exercise 16 -- Exercise 17 -- Exercise 18 -- Exercise19 -- Exercise 20 -- Exercise 21 -- Exercise 22 -- Exercise 23 -- Exercise 24 -- Exercise 25 -- References -- 6 Credit Derivatives -- 6.1 Credit Default Swaps -- 6.1.1 CDS Valuation -- 6.1.2 Binary CDS -- 6.1.3 Basket CDS -- 6.1.4 CDS Risks -- 6.2 Total Return Swaps -- 6.3 Collateralized Debt Obligations -- 6.4 Credit Spread Options -- 6.4.1 Credit Spread Options Written on the Spread -- 6.4.2 Credit Spread Options Written on the Credit Asset -- 6.4.3 Credit Spread Options Strategy -- Exercises -- Exercise 1 -- Exercise 2 -- Exercise 3 -- Exercise 4 -- Exercise 5 -- References -- 7 Bond Markets -- 7.1 Contemporary Trends in the Bond Markets -- 7.1.1 The Size of the Bond Markets -- 7.1.2 The Modernization of the Bond Markets -- 7.1.3 The Drivers of the Bond Market Growth -- 7.1.3.1 The Low Interest Rates and the Increase of Corporate Bond Issues -- 7.1.3.2 The Role of Regulation -- 7.1.3.3 The Importance of New Products -- 7.1.3.4 The Contribution of ITC Advances -- 7.2 Traditional Notions of the Bond Markets.
7.2.1 Government Bond Market.
Record Nr. UNINA-9910556885303321
Poufinas Thomas  
Cham, Switzerland : , : Springer, , [2022]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Fixed income markets : management, trading and hedging / / Moorad Choudhry, David Moskovic, Max Wong ; with contributions from Suleman Baig [and three others]
Fixed income markets : management, trading and hedging / / Moorad Choudhry, David Moskovic, Max Wong ; with contributions from Suleman Baig [and three others]
Autore Choudhry Moorad
Edizione [2nd ed.]
Pubbl/distr/stampa Singapore : , : Wiley, , 2014
Descrizione fisica 1 online resource (707 p.)
Disciplina 332.632044
Collana Wiley Finance Series
Soggetto topico Fixed-income securities
ISBN 1-118-63833-6
1-118-17175-6
1-118-17174-8
Classificazione BUS036000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Machine generated contents note: Foreword. Preface. Acknowledgments. About the Author. PART I: INTRODUCTION TO BONDS. Chapter 1. The bond instrument. Chapter 2. Interest-rate risk. Chapter 3. Pricing, spot and forward rates. Chapter 4. Interest rate modelling. Chapter 5. Yield curve fitting. PART II: ELECTED MARKET INSTRUMENTS. Chapter 6. Money markets. Chapter 7. Hybrid securities. Chapter 8. Analysis of callable bonds. Chapter 9. Index-linked bonds. Chapter 10. ABS and MBS intro. Chapter 11. CDOs. Chapter 12. Structured credit products. PART III: DERIVATIVE INSTRUMENTS. Chapter 13. Forwards and futures pricing. Chapter 14. Bond futures. Chapter 15. Swaps. Chapter 16. SwapNote. Chapter 17. Credit derivatives I. Chapter 18. Credit derivatives II. Chapter 19. Options I. Chapter 20. Options II. PART IV: BOND TRADING AND HEDGING. Chapter 21. Value-at-risk and Credit VaR. Chapter 22. Government bond analysis, the yield curve and relative-value trading. Chapter 23. Approaches to trading and hedging. Appendix A: Statistical concepts. Appendix B: Basic tools. Appendix C: Introduction to the mathematics of fixed income pricing. Glossary. Index. .
Record Nr. UNINA-9910139135103321
Choudhry Moorad  
Singapore : , : Wiley, , 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui