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Description of Advanced Fixed Income Analysis

This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He introduces the latest techniques used for analysis and interpretation, including: relative value trading; approaches to trading and hedging; dynamic analysis of spot and forward rates; interest rate modelling; fitting the yield curve; analysing the long bond yield; index-linked bond analytics; corporate bond defaults; and, aspects of advanced analysis for experienced bond market practitioners. The book describes complex topics in an accessible style and brings together a wide range of topics in one volume.

Title Information

ISBN:

9780750662635

Pages:

208 pages

Format:

Hardback

Product Code:

20485

Publisher:

Butterworth-Heinemann Ltd

Published:

08/06/2004

Edition:

1st Edition

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About Moorad Choudhry

Moorad Choudhry is Head of Business Treasury in Global Banking and Markets (GBM) Treasury at the Royal Bank of Scotland. He is thus responsible for providing RBS with the expertise and capabilities required to manage its balance sheet, funding, and liquidity. He is also Visiting Professor at the Department of Economics, London Metropolitan University, and a Senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.

Contents of Advanced Fixed Income Analysis

Approaches to trading and hedging

Relative value trading using govt bonds

Dynamics of asset prices

Interest rate models I

Interest rate models II

Fitting the term structure

I-L bonds

Long bond yield

Default risk of corporate bonds

Brady bonds