Alexander During

Fixed Income Trading and Risk Management (eBook, PDF)

The Complete Guide

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 464
• Erscheinungstermin: 17. Dezember 2020
• Englisch
• ISBN-13: 9781119756347
• Artikelnr.: 60803551

Autorenporträt

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.

Inhaltsangabe

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 Valu