Pricing and hedging interest and credit risk sensitive instruments / Frank Skinner.

Format:

Book

Author/Creator:

Skinner, Frank, 1957-

Language:

English

Subjects (All):

Hedging (Finance).

Interest rates--Mathematical models.

Interest rates.

Credit--Management--Mathematical models.

Credit.

Risk management--Mathematical models.

Risk management.

Physical Description:

1 online resource (389 p.)

Place of Publication:

Amsterdam ; Boston : Elsevier Butterworth-Heinemann, 2004.

Language Note:

English

Summary:

This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying

Contents:

Front Cover; Pricing and Hedging Interest and Credit Risk Sensitive Instruments; Copyright Page; Contents; ACKNOWLEDGEMENTS; CHAPTER 1. AN INTRODUCTION TO INTEREST AND CREDIT RISKY INSTRUMENTS AND THEIR MARKETS; 1.1 Bond conventions; 1.2 Bond markets; 1.3 Trends in the global capital markets; 1.4 Corporate bonds; 1.5 Scope of this book; 1.6 Exercises; CHAPTER 2. THE SOVEREIGN TERM STRUCTURE AND THE RISK STRUCTURE OF INTEREST RATES; 2.1 Objectives pricing and hedging; 2.2 Introduction to the term and risk structure of interest rates

2.3 The uses of the term structure and risk structure of interest rates2.4 Theories of the sovereign term structure of interest rates; 2.5 Theory of the risk structure of interest rates; 2.6 How sovereign bonds are issued; 2.7 Repos; CHAPTER 3. MEASURING THE EXISTING SOVEREIGN TERM STRUCTURE AND THE RISK STRUCTURE OF INTEREST RATES; 3.1 Measuring the sovereign term structure of interest rates; 3.2 Frequently traded bonds; 3.3 Zero coupon yields; 3.4 Measuring continuous yield curves; 3.5 Par coupon yield curves; 3.6 Summary; 3.7 Exercises

CHAPTER 4. MODELLING THE SOVEREIGN TERM STRUCTURE OF INTEREST RATES: THE BINOMIAL APPROACH4.1 The binomial approach; 4.2 The simple model; 4.3 Which short rate of interest should we model?; 4.4 Pricing a bond using the interest rate tree; 4.5 The problems with the simple model; 4.6 Incorporating risk aversion; 4.7 Exercises; CHAPTER 5. INTEREST RATE MODELLING: THE TERM STRUCTURE CONSISTENT APPROACH; 5.1 Desirable features of an interest rate model; 5.2 Ho and Lee (1986); 5.3 Black Derman and Toy: constant volatility; 5.4 Black Derman and Toy (1990)

5.5 Some other one factor term structure consistent models5.6 Summary; 5.7 Exercises; CHAPTER 6. INTEREST AND CREDIT RISK MODELLING; 6.1 Evolutionary interest rate models; 6.2 Vasicek (1977); 6.3 Cox Ingersoll and Ross (1985); 6.4 Other evolutionary models; 6.5 Comparing the term structure consistent and evolutionary models; 6.6 The problem with interest rate (and credit risk) modelling; 6.7 Non-stochastic credit risk models; 6.8 Jarrow and Turnbull (1995); 6.9 Duffie and Singleton (1999); 6.10 Other credit risk modelling approaches; 6.11 Summary; 6.12 Exercises

CHAPTER 7. HEDGING SOVEREIGN BONDS: THE TRADITIONAL APPROACH7.1 Introduction; 7.2 Macaulay duration; 7.3 Modified duration; 7.4 Other measures of interest rate sensitivity; 7.5 Convexity; 7.6 Hedging; 7.7 Regression-based hedge ratios; 7.8 Duration-based hedge ratio; 7.9 Basis risk; 7.10 Appendix; 7.11 Exercises; CHAPTER 8. ACTIVE AND PASSIVE STRATEGIES; 8.1 Introduction; 8.2 Adjusting the duration of a portfolio; 8.3 Active and passive strategies; 8.4 Implementing a rate anticipation swap; 8.5 Implementing an asset substitution swap; 8.6 Portfolio immunization; 8.7 Balance sheet immunization

8.8 Bond portfolio management

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786611016333

9781281016331

1281016330

9780080473956

0080473954

OCLC:

437177079