The swaps handbook: swaps and related risk management instruments
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York u.a.
New York Inst. of Finance
1990
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXII, 543 S. graph. Darst. |
| ISBN: | 0138792976 |
Staff View
MARC
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| 100 | 1 | |a Kapner, Kenneth R. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The swaps handbook |b swaps and related risk management instruments |c Kenneth R. Kapner ; John F. Marshall |
| 264 | 1 | |a New York u.a. |b New York Inst. of Finance |c 1990 | |
| 300 | |a XXII, 543 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 650 | 4 | |a Swaps (Finance) | |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Swap |0 (DE-588)4199581-8 |2 gnd |9 rswk-swf |
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| 700 | 1 | |a Marshall, John F. |e Verfasser |4 aut | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-002731905 | ||
Record in the Search Index
| _version_ | 1804118579970310144 |
|---|---|
| adam_text | Contents
About the Authors xv
Forward xvii
Preface xix
PART ONE
THE FINANCIAL ENVIRONMENT
1. Introduction to the Swap Product 3
1.1 Overview 3
y 1.2 The Swap Product Defined 4
1.3 Origins of the Swap Markets 6
1.4 Growth of Swap Activity 13
1.5 Economic Foundations of the Swap Product 16
* 1.6 Basic Structure of a Currency Swap 21
1.7 Basic Structure of an Interest rate Swap 22
1.8 Swap Facilitators 27
1.8.1 Brokers 28
1.8.2 Dealers 28
1.9 Miscellaneous Points Regarding Swaps 31
1.10 Plan of the Book 33
1.11 Summary 35
vii
viii CONTENTS
Appendix: The Source of the Comparative Advantage in Interest
rate Swaps 39
2. Interest Rates and Exchange Rates: The Basics 45
2.1 Overview 45
2.2 Debt Instruments: The Basics 46
2.2.1 The Coupon 47
2.2.2 Valuation of Debt Instruments 49
2.2.3 The Yield Curve 54
2.2.4 Investment Risks in the Debt Markets 56
2.2.4.1. Interest rate Risk 57
2.2.4.1.a Duration 59
2.2.4.l.b Dollar Value of a Basis Point 62
2.2.4.2 Default Risk 65
2.2.4.3 Reinvestment Risk, Call Risk, and
Prepayment Risk 66
2.2.4.4 Purchasing Power Risk 69
2.3 Exchange Rates: The Basics 69
2.3.1 The Determinants of Exchange Rates 72
2.3.1.1 Interest rate Parity 72
2.3.2 Purchasing Power Parity 75
2.3.3 The Fisher Equation 76
2.3.4 Other Factors Influencing Exchange Rates 77
2.4 Summary 78
3. The Cash Markets for Debts 81
3.1 Overview 81
3.2 The Cash Market for U.S. Treasury Debt 82
3.2.1 The Instruments 83
3.3 The Cash Market for Corporate Debt 93
3.3.1 Fixed rate Instruments 94
3.3.2 Floating rate Instruments 103
CONTENTS ix
3.4 The Cash Market for Mortgage Debt and Mortgage backed
Securities 106
3.5 The Cash Markets for International Debt 113
3.6 Summary 116
Appendix: Conversion of Bank Discount Yields to Bond
Equivalent Yields 120
4. Understanding and Managing Financial Risk 123
4.1 Overview 123
C .2 Volatility: The Source of Price Risk 124
4.3 Measuring Exposure to Price Risk 129
4.4 Managing Risk 133
4.4.1 Insurance 134
4.4.2 Asset/Liability Management 137
,4.4.3 Hedging 148
4.4.3.1 Size of the Hedge 156
4.4.3.2 Effectiveness of a Hedge 157
4.4.3.3 Cost of a Hedge 159
4.5 Summary 161
/ Appendix: Effectiveness, Efficiency, and Optimality in Futures
/ Hedging—An Application of Portfolio Theory 164
PART TWO
THE INSTRUMENTS AND THEIR USES
5. Futures and Forwards 179
^Jj) Overview 179
^ Futures 180
£ 3 Forwards 193
5.4 Forward Rate Agreements 195
x CONTENTS
5.5 Euro Rate Differential Futures and Forward Exchange
Agreements 207
5.6 Forward Rate Agreements, Foreign Exchange Agreements,
and Swaps 214
5.7 Summary 215
6. Options, Calls, Puts, Caps, and Floors 219
6.1 Overview 219
6.2 Calls and Puts: The Basics 221
6.3 Payoff Profiles 230
6.4 Hedging with Options 239
6.5 Cash Settlement Options 244
6.6 Interest Rate Caps 245
6.7 Interest Rate Floors 253
6.8 Interest Rate Collars 256
6.9 Miscellaneous Interest Rate Options 258
6.10 Summary 261
7. Corporate Objectives and the Structure of Swaps 265
7.1 Overview 265
7.2 Corporate Objectives 266
7.2.1 Lowering Financing Costs 266
7.2.2 Hedging Price Risks 268
7.2.3 Exploiting Economies of Scale 272
7.2.4 Gaining Access to New Markets 273
7.3 Swap Variants 274
7.3.1 Interest Rate Swaps 275
7.3.1.1 Fixed for Floating Swaps 276
7.3.1.2 Zero Coupon for Floating Swaps 276
7.3.1.3 Floating for Floating Swaps 276
7.3.1.4 Callable Swaps 277
CONTENTS xi
7.3.1.5 Putable Swaps 277
7.3.1.6 Extendable Swaps 278
7.3.1.7 Forward Swaps 279
7.3.1.8 Delayed Rate Setting Swaps 279
7.3.1.9 Rate Capped Swaps 279
7.3.1.10 Amortizing Swaps 280
7.3.1.11 Roller Coaster Swaps 280
7.3.1.12 Asset Based Swaps 280
7.3.2 Currency Swaps 281
7.3.2.1 Fixed for Floating Rate Nonamortizing
Currency Swaps 281
7.3.2.2 Fixed for Fixed Rate Nonamortizing
Currency Swaps 282
7.3.2.3 Floating for Floating Rate Nonamortizing
Currency Swaps 282
7.3.2.4 Amortizing Currency Swaps 283
7.4 A Closer Look at Asset Based Swaps 283
7.5 Commodity Swaps 288
7.6 Choosing Between Financing Alternatives—The All in
Cost 292
7.6.1 All in Cost: An Example 295
7.7 Summary 300
Appendix: Futures versus Swaps—Some Considerations for the
Thrift Industry 304
8. The Pricing of Swaps 319
8.1 Overview 319
8.2 Indication Pricing Schedules: The Interest Rate Swap 321
8.3 Adjustments to Indication Pricing 328
8.3.1 Amortizing Loans: Duration versus Average
Life 329
8.3.2 Semiannual Rates versus Other Payment
Frequencies 333
xii CONTENTS
8.4 Market Imbalances and Pay/Receive Rate
Adjustments 336
8.5 Indication Pricing Schedules: Currency Swaps 337
8.6 Currency Swaps with No Initial Exchange of
Borrowing 341
8.7 Off Market Pricing 343
8.8 A Note on the Pricing of Circus Swaps 346
8.9 Summary 347
Appendix: Who s Who Among Swap Dealers 351
PART THREE
INSTITUTIONAL CONSIDERATIONS
9. Managing a Swap Portfolio 365
9.1 Overview 365
9.2 Risk Exposure for the Swap Bank 366
9.2.1 Interest Rate Risk 367
9.2.2 Exchange Rate Risk 372
9.2.3 Credit Risk 373
9.2.4 Market Risk 374
9.2.5 Default Risk 376
9.2.6 Mismatch Risk 376
9.2.7 Basis Risk 377
9.2.8 Sovereign Risk 379
9.2.9 Spread Risk 380
9.2.10 Delivery Risk 380
9.3 Quantifying the Exposure 381
9.3.1 Quantifying Default Risk 382
9.3.2 Quantifying Mismatch Risk 388
CONTENTS xiii
9.4 Managing Swap Risks 389
9.4.1 Hedging Interest Rate Risk 390
9.4.2 Managing Credit Risk 393
9.4.3 Miscellaneous Portfolio Management
Considerations 398
9.5 Treatment of Swaps Under the New International Capital
Standards 399
9.6 Summary 403
Appendix: Risk Based Capital Guidelines for U.S. Banks and Bank
Holding Companies 409
10. Swap Documentation 429
10.1 Overview 429
10.2 Standard Form Agreements 432
10.2.1 Payments 433
10.2.2 Representations 433
10.2.3 Agreements 434
10.2.4 Events of Default and Termination Events 434
10.2.5 Early Termination 435
10.2.6 Transfer 436
10.2.7 Multibranch Provisions 436
10.2.8 Notices 436
10.2.9 Tax Matters 436
10.2.10 Credit Support Documentation 437
10.2.11 Governing Law and Jurisdiction 437
10.2.12 Definitions 437
10.2.13 Confirmations 438
10.3 Miscellaneous 1986 Code Definitions 438
10.4 Summary 442
xiv CONTENTS
Appendix: Code of Standard Wording, Assumptions and Provisions
for Swaps—1986 Edition 443
Glossary 483
Index 525
|
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| indexdate | 2024-07-09T16:12:33Z |
| institution | BVB |
| isbn | 0138792976 |
| language | English |
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| physical | XXII, 543 S. graph. Darst. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | New York Inst. of Finance |
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| spelling | Kapner, Kenneth R. Verfasser aut The swaps handbook swaps and related risk management instruments Kenneth R. Kapner ; John F. Marshall New York u.a. New York Inst. of Finance 1990 XXII, 543 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Swaps (Finance) Risikomanagement (DE-588)4121590-4 gnd rswk-swf Swap (DE-588)4199581-8 gnd rswk-swf Swap (DE-588)4199581-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Marshall, John F. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002731905&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kapner, Kenneth R. Marshall, John F. The swaps handbook swaps and related risk management instruments Swaps (Finance) Risikomanagement (DE-588)4121590-4 gnd Swap (DE-588)4199581-8 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4199581-8 |
| title | The swaps handbook swaps and related risk management instruments |
| title_auth | The swaps handbook swaps and related risk management instruments |
| title_exact_search | The swaps handbook swaps and related risk management instruments |
| title_full | The swaps handbook swaps and related risk management instruments Kenneth R. Kapner ; John F. Marshall |
| title_fullStr | The swaps handbook swaps and related risk management instruments Kenneth R. Kapner ; John F. Marshall |
| title_full_unstemmed | The swaps handbook swaps and related risk management instruments Kenneth R. Kapner ; John F. Marshall |
| title_short | The swaps handbook |
| title_sort | the swaps handbook swaps and related risk management instruments |
| title_sub | swaps and related risk management instruments |
| topic | Swaps (Finance) Risikomanagement (DE-588)4121590-4 gnd Swap (DE-588)4199581-8 gnd |
| topic_facet | Swaps (Finance) Risikomanagement Swap |
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