Fixed Income Trading and Risk Management - The Complete Guide

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.

List of contents

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

About the author

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.

Summary

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.

Product details

• Authors: a During, Alexander During
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 31.10.2020
• EAN: 9781119756330
• ISBN: 978-1-119-75633-0
• No. of pages: 464
• Series: Wiley Finance; Wiley Finance Editions; The Wiley Finance Series
• Subjects: Social sciences, law, business > Business > Business administration; Kapitalanlage, Finance & Investments, Finanz- u. Anlagewesen, Kapitalanlagen u. Wertpapiere, Investments & Securities