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Fixed income relative value analysis : a practitioners guide to the theory, tools, and trades

Author: Doug Huggins; Christian Schaller
Publisher: Chichester, West Sussex : Wiley, [2013]
Series: Bloomberg financial series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Huggins, Doug, 1965-
Fixed income relative value analysis.
Chichester, West Sussex : John Wiley & Sons Inc., [2013]
(DLC) 2013008291
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Doug Huggins; Christian Schaller
ISBN: 9781118477212 1118477219
OCLC Number: 829999728
Description: 1 online resource.
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. 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. 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. 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. 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.
Series Title: Bloomberg financial series.
Responsibility: Doug Huggins and Christian Schaller.
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Abstract:

Provides a 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  Read more...

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