| Description |
1 online resource |
| Series |
Bloomberg financial series |
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Bloomberg financial series.
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| Contents |
Cover; Contents; Title; Copyright; Foreword; Chapter 1: Relative Value; The Concept of Relative Value; The Sources of Relative Value Opportunities; The Insights from Relative Value Analysis; The Applications of Relative Value Analysis; The Craft of Relative Value Analysis; Summary of Contents; Part I: Statistical Models; Chapter 2: Mean Reversion; What Is Mean Reversion and How Does It Help Us?; Diagnostics for Model Selection; Model Estimation; Calculating Conditional Expectations and Probability Densities; Calculating Conditional, Ex Ante Risk-Adjusted Returns; First Passage Times |
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A Practical Example Incorporating all the IdeasConclusion; Chapter 3: Principal Component Analysis; Introduction: Goal and Method; An Intuitive Approach toward PCA; Factor Models: General Structure and Definitions; PCA: Mathematics; PCA as Factor Model; Insight into Market Mechanisms through Interpretation of the Eigenvectors; Applying Eigenvector Interpretation in Different Markets; Decomposing Markets into Uncorrelated Factors; Embedding PCA in Trade Ideas; Appropriate Hedging; Analyzing the Exposure of Trading Positions and Investment Portfolios; Market Reconstruction and Forecasting |
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A Yield Curve Model Based on PCAPCA as a Tool for Screening the Market for Trade Ideas; PCA as a Tool for Asset Selection; Example of a PCA-based Trade Idea; Problems and Pitfalls of PCA 1: Correlation between Factors during Subperiods; Problems and Pitfalls of PCA 2: Instability of Eigenvectors over Time; PCA as a Tool to Construct New Types of Trades; Part II: Financial Models; Chapter 4: Some Comments on Yield, Duration, and Convexity; Introduction; Some Brief Comments on the Yield of a Coupon-Paying Bond; A Brief Comment on Duration; A Common Misapplication of Convexity |
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Chapter 5: Bond Futures ContractsFutures Price and Delivery Option; One-Factor Delivery Option Models; The Need for Multi-Factor Delivery Option Models; A Flexible Multi-Factor Delivery Option Model; Chapter 6: LIBOR, OIS Rates, and Repo Rates; Introduction; Brief Definitions; Differences between LIBOR and OIS Rates; Repo Rates in Greater Detail; Capital Treatment for Secured and Unsecured Loans; A Model Relating LIBOR and Repo Rates; Conclusions; Chapter 7: Intra-Currency Basis Swaps; Definition; Factors that Determine Pricing; Role as Building Blocks; Conclusion |
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Chapter 8: Theoretical Determinants of Swap SpreadsOld Approach: Looking at Default Risk of Swap Counterparties; The Modern Approach; Viewing the Swap as a Derivative; Insurance Properties of LIBOR-Repo Spreads; Other Practical Modeling Issues; The Subprime Crisis as a Brief Case Study; Conclusions; Chapter 9: Swap Spreads from an Empirical Perspective; Empirical Analysis of Swap Spreads; Conclusions; Chapter 10: Swap Spreads as Relative Value Indicators for Government Bonds; Introduction; Typical Use of Swap Spreads as a Relative Value Indicator for Government Bonds |
| Summary |
Western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. Taking a practitioner's point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. The book covers:Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis. An in-depth approach to understanding swap spreads in theory and in practice. A comprehensive discussion of the various basis swaps and their combinations. The incorporation of credit default swaps in yield curve analysis. A classification of option trades, with appropriate analysis tools for each category. Fitted curve techniques for identifying relative value among different bonds. A multi-factor delivery option model for bond future contracts. Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it's an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process.</p |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record and CIP data provided by publisher |
| Subject |
Fixed-income securities.
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Securities -- Valuation
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BUSINESS & ECONOMICS -- Investments & Securities -- General.
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BUSINESS & ECONOMICS -- Finance.
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Fixed-income securities
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Securities -- Valuation
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| Form |
Electronic book
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| Author |
Schaller, Christian, 1971-
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| LC no. |
2013009914 |
| ISBN |
9781118477212 |
|
1118477219 |
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