The handbook of currency and interest rate risk management:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York u.a.
New York Inst. of Finance
1990
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Getr. Zählung graph. Darst. |
| ISBN: | 0133819639 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804118737789386752 |
|---|---|
| adam_text | Contents
CHAPTER 1: Overview, 1 1
Robert J. Schwartz and Clifford W. Smith, Jr.
Part I
Theoretical Foundation: The Instruments
: CHAPTER 2: The Evolution of Risk Management
Products, 2 1
l S. Waite Rawls III and Charles W. Smithson
^ The world became a more risky place, 2 4
Foreign exchange rates became more risky, 2 5
Interest rates became more risky, 2 8
Commodity prices became more risky, 2 11
The market provided tools to manage commodity price risk, 2 13
Metals, 2 13
Petroleum, 2 14
Hybrids, 2 14
Commercial bank activities, 2 14
How much is really new ?, 2 15
Conclusion, 2 16
xx
xxx Contents
CHAPTER 3: A LEGO® Approach to Financial Engineering:
An Introduction to Forwards, Futures, Swaps and
Options*, 3 1
Charles W. Smithson
Forward contracts, 3 5
Futures contracts, 3 6
Swap contracts, 3 8
Option contracts, 3 12
The LEGOs, 3 19
Using the LEGOs, 3 20
CHAPTER 4: Pricing Financial Futures Contracts: An
Introduction, 4 1
Kenneth R. French
The basic idea, 4 4
Wo costs or benefits of holding the painting, 4 4
Dividends from owning the painting, 4 5
Stock index futures, 4 6
Nondividend paying stocks, 4 7
The effect of dividends, 4 8
Treasury bill futures, 4 10
Treasury bond futures, 4 11
Foreign currency futures, 4 13
Institutional environment and empirical accuracy, 4 15
Summary, 4 17
CHAPTER 5: The Pricing of Currency Options: A Review, 5 1
Rene M. Stulz
Type of currency options, terminology, some general results, 5 6
Extending the Black Scholes approach to pricing currency options, 5 11
The performance of the extension of the Black Scholes approach, 5 16
CHAPTER 6: The Evolving Market for Swaps, 6 1
Clifford Smith, Jr., Charles W. Smithson and
Lee Macdonald Wakeman
Analysis of swap transactions, 6 3
The currency swap, 6 4
Swaps as packages of forward contracts, 6 5
Currency coupon swaps, 6 6
Interest rate swaps, 6 6
Basis rate swaps, 6 7
Commodity swaps, 6 7
Swaps with timing mismatches, 6 8
Contents xxx
Swaps with option like payoffs, 6 8
Development of the swaps market, 6 10
Why did the swaps market evolve?, 6 10
Financial arbitrage, 6 10
Tax and regulatory arbitrage, 6 11
Exposure management, 6 13
Completing markets, 6 14
How did the swaps market evolve?, 6 15
Pricing swaps, 6 17
Forward prices, 6 18
Transaction costs, 6 18
Credit risk, 6 19
Pricing restrictions from arbitrage, 6 20
The future of the swaps market, 6 21
Liability of the intermediary, 6 22
Secondary market, 6 22
Regulation, 6 23
CHAPTER 7: Fundamental Models for Pricing Swaps, 7 1
Rod A. Beckstrom
The basic model, 7 4
NPV pricing theory and its assumptions, 7 6
One master swap yield curve per currency, 7 6
U.S. dollar LIBOR as the common denominator, 7 7
Forward foreign exchange market linkages, 7 9
Summary of swap pricing market mechanics, 7 9
Determining the master yield curves, 7 10
Par swap curves, 7 10
How the YTM curve is related to the master swap zero curve, 7 10
Blended curves, 7 11
Cash markets, 7 12
Futures strips, 7 12
Calculating zero strip curves from par rates, 7 13
Yield curve interpolations, 7 13
Calculating NPVs of cash flows, 7 14
Pricing fixed rate cash flows, 7 14
Compound basis (for YTMs and zeros), 7 14
Simple interest basis (for cash market instalments), 7 14
Evaluating floating cash flows, 7 14
Forecast float revaluation methodology, 7 15
Examples: Pricing different swaps, 7 17
Example 1. Interest rate swap: Fixed to floating in U.S. dollars, 7 19
Example 2. Currency swap fixed U.S. dollars to fixed Japanese
yen, 7 20
Example 3. Currency swap fixed Japanese yen to floating U.S.
dollars, 7 21
Pricing counterparty credit risk, 7 21
Summary, 7 26
xxxii Contents
Part II
Interest Rate Risk Exposure Management
CHAPTER 8: The Market for Interest Rate Swaps, 8 1
Clifford W. Smith, Jr., Charles W. Smithson and Lee Macdonald
Wakeman
Analysis of an interest rate swap, 8 4
An interest rate swap as a portfolio of loans, 8 4
The impact of interest rate changes on swap value, 8 6
An interest rate swap as a portfolio of forward contracts, 8 7
Swaps and default risk, 8 8
Default risk of swaps versus loans, 8 8
Default risk in forwards, futures and swaps, 8 9
Distributing contract value, 8 10
Trading the contracts, 8 11
Performance bonds, 8 12
Other determinants of default risk for interest rate swaps, 8 13
The use of the swap, 8 13
Tem structure, 8 13
The rationale for interest rate swaps, 8 14
Financial arbitrage, 8 14
Comparative advantage, 8 15
Underpriced credit risk, 8 15
Differential prepayment options, 8 16
Liquidity, 8 17
Exposure management, 8 17
Synthetic instruments, 8 18
Conclusions, 8 19
CHAPTER 9: The Canadian Swap Market, 9 1
Suresh Bhalla
Interest rate swaps, 9 5
Evolution of the market, 9 5
Growth of the market, 9 6
Characteristics and dynamics, 9 7
Basic features of Canadian dollar swaps, 9 9
Market participants, 9 9
Crown corporations and provinces, 9 9
Financial institutions, 9 10
EuroCanadian bond issuers, 9 10
Corporate borrowers, 9 10
Currency swaps, 9 10
Some typical Canadian dollar swap transactions, 9 12
Foreign currency private placements, 9 12
Historic foreign currency borrowings, 9 13
Options, 9 14
Interbank Canadian dollar deposits, 9 15
Amortizing/leasing/delayed/cash flow swaps, 9 15
Contents xxxiii
CHAPTER 10: Interest Rate Risk Management in Australian
Dollars, 10 1
David Croft
Main sources of funds, 10 4
Development of hedging instruments, 10 4
Bank bill futures contract, 10 5
The treasury bond futures contract, 10 6
The interest rate swap market, 10 6
Basic features of A$ IRCAs, 10 7
Market volumes of A$ IRCAs, 10 8
Documentation, 10 9
Market participants, 10 10
Semigovernment authorities, 10 10
Banks, 10 11
Eurobond issuers, 10 11
Australian corporations, 10 12
Arbitrages within the market, 10 12
Options on interest rate sensitive instruments, 10 13
Exchange traded options, 10 13
Over the counter options, 10 14
Options on swaps, 10 14
Appendix 10.1: A$ instruments indicated volumes and liquidity, 10 16
Appendix 10.2: Price volatilities, 10 17
Appendix 10.3: Bank bill futures contract specifications, 10 18
Appendix 10.4: Ten year treasury bond futures contract
specification, 10 20
Appendix 10.5: A$ interest and inflation rates, 10 21
CHAPTER 11: Option Based Risk Management Tools, 11 1
Lee Macdonald Wakeman
Basic product description, 11 5
Pricing of caps, 11 8
Combinations and adaptations of caps and floors, 11 12
Interest rate risk management analysis, 11 18
CHAPTER 12: Swaptions: Tailoring Interest Rate Swaps, 12 1
Brian John Crowe
Evolution of the instrument, 12 6
Potential applications of swaptions, 12 8
Issuers selling swaptions to reduce funding costs, 12 8
Mortgage lenders buying swaptions to cover embedded
options risk, 12 9
Issuers buying swaptions when preparing to issue debt, 12 11
Investors using swaptions to manage portfolio duration, 12 11
Investors selling swaptions to enhance their portfolio yield, 12 13
Asset liability managers using swaptions to manage rate and
volatility, 12 13
xxxiv Contents
Practical considerations, 12 15
Credit issues, 12 15
Legal issues, 12 15
Tax issues, 12 15
Accounting issues, 12 16
Risk management systems issues, 12 17
Part III
Currency Exposure Management
CHAPTER 13: The Forward Foreign Exchange Market: An
Alternative for Hedging Currency Risks, 13 1
George Handjinicolaou
The origin of the long dated forward exchange markets, 13 5
Conceptual foundations: The Interest rate parity, 13 7
The one period interest rate parity, 13 7
777e multiperiod interest rate parity, 13 11
Determining long dated forwards assuming no
reinvestment risk, 13 12
The general case, 13 15
A practical way of determining long dated forward
exchange rates, 13 18
Calculating the zero coupon rates, 13 18
Calculating forward interest rates, 13 20
Calculating long dated forward exchange rates, 13 22
The long dated forward exchange market, 13 24
Participants, 13 25
Volume, 13 26
Market conventions, 13 27
Long dated forwards as an alternative tool for hedging
currency risk, 13 29
Alternative ways of hedging foreign exchange rate risk, 13 29
Hedging with long dated forward exchange contracts: An
example, 13 31
Currency swaps: Vis a vis long dated forwards, 13 33
Cash flow structure, 13 34
fees, 13 35
Market structure, 13 35
Pricing, 13 36
Sources of arbitrage opportunities, 13 36
Summary and conclusion, 13 38
CHAPTER 14: Swiss Franc Currency Swaps, 14 1
Adrian Ryser and Thomas C. Wilson
Swiss franc swap market overview, 14 4
Market volume, 14 4
Contents xxxv
Swaps in connection with primary market transactions, 14 5
Swaps in connection with hedging of existing Swiss franc
liabilities, 14 7
Asset swaps in connection with Swiss franc or foreign currency
denominated bonds, 14 7
Swaps to manage a Swiss franc bond or swap portfolio, 14 10
Market participants, 14 10
Characteristics of the market, 14 12
Regulations and accounting, 14 13
Swiss National Bank, 14 13
Swiss capital requirements, 14 13
Example: Calculation of capital requirements, 14 14
Accounting, 14 15
Swiss franc capital market and foreign borrowers: Swap windows , 14 15
A cure for missing markets, 14 20
Example 1. Long dated forward exchange agreement, 14 21
Example 2. A bond future, 14 22
Example 3. Zero coupon bonds, annuities, amortized schedules and
other arbitrary portfolios of known cash flows, 14 23
Summary, 14 23
CHAPTER 15: Cross Currency Products in Australian
Dollars, 15 1
David Croft
Australian dollars currency swaps, 15 4
Withholding tax, 15 4
Investor preferences, 15 4
Credit arbitrage, 15 5
Domestic institutions, 15 5
Tax differentials, 15 5
Types of cross currency swaps, 15 6
Technicalities, 15 7
Bank bill rate, 15 7
Fixed rate in the domestic market, 15 7
Zero coupon swaps, 15 8
Translating US$ spreads, 15 8
CHAPTER 16: Notes on Foreign Exchange Market
Efficiency, 16 1
Lokhi Banerji
Developments in the forex markets 1979 1989, 16 3 /
Efficiency, equilibrium and expectations, 16 5 /
Conclusion, 16 11
«xvi Contents
Part IV
Commodity Price Exposure Management
CHAPTER 17: Commodity Price Hedging: An Application of
the Building Block Approach, 17 1
Stefan Eckl, Michael J. Hampton and J. Nicholas Robinson
Borrowing on gold, 17 3
Oil hedges, 17 4
Swap versus future, 17 6
Multiple exposures, 17 7
Part V
Special Topics in Exposure Management
CHAPTER 18: Practical Topics in Corporate Risk
Management, 18 1
James C. F. MeVay
The Corporate enterprise, 18 5
Identification of exposures, 18 8
Exposure measurement and reporting, 18 11
Decision making approaches, 18 16
Relative valuation, 18 21
Performance evaluation, 18 23
Integrating risk management with financing strategy, 18 24
CHAPTER 19: Five Reasons Why Companies Should
Manage Risk, 19 1
Clifford W. Smith, Jr., Charles W. Smithson and D. Sykes Wilford
The world has become a riskier place, 19 3
By managing risk a company can reduce expected taxes, 19 6
Hedging can reduce potential costs of financial distress, 19 10
Hedging can increase debt capacity, 19 11
Managing risk can reduce a firm s borrowing costs, 19 14
CHAPTER 20: Ongoing Management of Transactions, 20 1
Tanya Styblo Beder
Introduction of new capital market products, 20 4
Changes in transaction elements, 20 6
Changes in rate outlook and/or risk philosophy, 20 7
Conclusion, 20 11
Contents xxxvii
CHAPTER 21: Risk Controlled Arbitrage, 21 1
Arnold Shapiro, C. Brian Egnatz and Joseph Elmasri
Background, 21 4 /
Basic concept, 21 5 v /
Performance measures, 21 8 /
Hedge selection, 21 10 /.
Lability selection, 21 12 /
Asset selection, 21 12 /
Current environment, 21 14 (
Summary, 21 16
Appendix 22.1: Fixed and adjustable rate mortgage backed
securities, 21 17
Appendix 22.2: Stripped mortgage backed securities, 21 19
CHAPTER 22: A Senior Officer s View on Credit Issues, 22 1
Thomas E. Francois
The nature of credit exposure, 22 4
Salient components of credit risk on a product by product basis, 22 6
Future rate agreements, 22 6
Interest rate swaps, 22 7
Interest rate options, 22 9
FX forwards, 22 10
Currency swaps, 22 11
Controlling counterparty exposure, 22 12
An active or passive approach?, 22 15
Should one look at the forest or count the trees?, 22 16
Further complications and refinements: A portfolio simulation
approach, 22.A7
Documentation techniques to reduce credit exposure, 22 19
Dealing with netting from a control perspective, 22 21
But where is the documentation?, 22 21
Conclusions, 22 22
Appendix: A simulation approach, 22 24
CHAPTER 23: Understanding Swap Credit Risk:
The Simulation Approach, 23 1
Mark Ferron and George Handjinicolaou ^
The nature of the swap credit risk, 23 4 yv^
Alternative approaches in measuring swap credit risk, 23 6 /
The worst case scenario approach, 23 7
The historical experience approach, 23 7
The options approach, 23 8
777e simulated experience approach, 23 8
The Monte Carlo simulation technique, 23 9
The lognormal distribution, 23 9
77?e properties of the model, 23 10
Volatility and the diffusion effect , 23 10
xxxviii Contents
Applying the Monte Carlo approach in the evaluation of swap
credit risk, 23 12
Observations on the Monte Carlo technique, 23 13
The choice of the volatility level, 23 13
The impact of the default assumptions, 23 14
The combined effect of the amortization and diffusion
effects, 23 15
Results for interest rate swaps, 23 16
Par interest rate swaps, 23 16
Non par interest rate swaps, 23 18
Further considerations and clarifications, 23 21
Sensitivity to the underlying parameters, 23 21
Credit risk formula for par interest rate swaps, 23 22
Credit risk formula for non par swaps, 23 23
Summary and conclusions, 23 24
CHAPTER 24: Swaps at Transamerica: Analysis and
applications, 24 1
Bruce Lange and Robert J. Einzig
Transamerica s background in use of swaps, 24 4
The cost advantages of swaps and their risks, 24 6
Basis risk, 124 7
Counterparty credit risk, 24 9
Liquidity risk, 24 9
Adjusting to risk, 24 9
Summary of savings in cost, 24 12
Transaction speed, 24 15
Termination of existing agreements, 24 16
Flexibility, 24 17
Separation of credit risk from rate risk, 24 17
Maintenance of asset liquidity while enhancing investment
returns, 24 18
Rate protection for nondebt instruments, 24 18
Financial engineering using swaps, 24 26
Spreadkxk, 24 21
Forward swap, 24 21
Conclusion, 24 25
Part VI
Economics of the Business
CHAPTER 25: Measuring the Risk Adjusted Profitability of
Derivative Products on Bank Capital, 25 1
Jon Moynihan
Profitability measurement is key, 25 4
Making appropriate strategy decisions, 25 4
Accurate profitability measurement needed as the life cycle
progresses. 25 5
Profitability measurement of swaps is key to pricing, 25 6
Contents xxxix
The most valid profitability measure is ROE, since it ties directly to
shareholder value, 25 7
Use a mark to market methodology in measuring ROE, 25 9
ROE measurement needs to be risk adjusted if it is to be valid, 25 11
Capital risk, 25 12
Credit risk, 25 12
Interest rate risk, 25 14
A final point on risk, 25 16
Effective measurement gives profitability a strong competitive
advantage, 25 16
Summary, 25 19
Part VII
Tax Considerations
CHAPTER 26: Tax Considerations in the United States, 26 1
Frank V. Battle, Jr., Michael L. Schultz and Gerard A. Mangieri
Interest rate swaps: Income tax treatment of payor, 26 3
Timing, 26 3
Initial payment, 26 3
Periodic payments, 26 4
Payments upon contract transfer or termination, 26 4
Character, 26 5
Source, 26 7
Withholding, 26 7
Income tax treatment of recipient, 26 8
Timing, 26 8
Initial payment, 26 8
Periodic payments, 26 9
Payments upon contract transfer or termination, 26 9
Character, 26 9
Source, 26 10
Withholding:, 26 11
Other taxes, 26 11
Currency swaps: Income tax treatment of payor, 26 11
Timing, 26 11
Initial payment, 26 11
Periodic payments, 26 13
Payments upon contract transfer or termination, 26 14
Character, 26 15
Source, 26 16
Withholding, 26 16
Income tax treatment of recipient, 26 17
Timing, 26 17
Initial payment, 26 17
Periodic payments, 26 17
Payments upon contract transfer or termination, 26 18
Character, 26 18
Source, 26 18
Withholding, 26 18
Other taxes, 26 18
xjij Contents
Interest rate risk, 31 13
Various hedging methods, 31 15
Swaps, 3T 16
Options, 31 17
Borrowing and investing, 31 18
Sale of revenue, 31 18
CHAPTER 32: Accounting for Currency and Interest Rate
Risk in the United Kingdom, 32 1
Simon Peerless
SSAP 20: Foreign currency translation, 32 4
Stage 1: Individual company, 32 4
Stage 2: Consolidated accounts, including foreign branches, 32 6
Disclosure, 32 7
Accounting for off balance sheet foreign currency interest rate
instruments, 32 7
Accounting for trading positions, 32 8
Accounting for hedges, 32 9
Hedge accounting for specific hedging instruments, 32 9
Forward foreign exchange contracts, 32 9
Currency futures, 32 10
Currency swaps, 32 10
Currency options, 32 11
Interest rate futures, 32 11
Interest rate swaps, 32 12
Interest rate options, 32 12
Disclosure, 32 12
Part IX
Legal Considerations
CHAPTER 33: Legal Aspects of Swap Agreements: An
Introduction, 33 1
Anthony C. Gooch and Albert S. Pergam
Creation and documentation of the swap agreement, 33 3
Enforceability of oral agreements, 33 3
Master agreements, 33 4
Standardization efforts, 33 4
Authorization issues, 33 5
Enforceability issues, 33 6
Failures of performance, termination, damages, bankruptcy and
insolvency, 33 6
Secondary market issues, 33 7
Contents x|jjj
CHAPTER 34: United States and New York Law, 34 1
Anthony C. Gooch and Albert S. Pergam
Creation and documentation of the swap agreement, 34 3
Enforceability of oral agreements, 34 3
Master agreements, 34 6
Standardization efforts, 34 7
Authorization issues, 34 8
Dealers and end users generally, 34 8
Swaps with counterparties in regulated industries, 34 9
Swaps with public sector entities, 34 9
Enforceability issues, 34 9
Failures of performance: Termination, damages, bankruptcy and
insolvency, 34 10
Termination, 34 10
Measures of damages, 34 10
Bankruptcy and insolvency, 34 13
Effect on termination rights, 34 13
Management as a going concern by a conservator, 34 15
Purchase and assumption transactions, 34 16
Liquidation, 34 16
Written agreement requirements, 34 17
Secondary market issues, 34 18
CHAPTER 35: English Law and Swaps, 35 1
J. Trevor Brown
Oral agreements—Statute of frauds, 35 4
Master agreements, 35 6
ISDA forms 35 6
The ISDA code, 35 6
The ISDA interest rate swap agreement, 35 6
The ISDA standard form interest and currency exchange
agreement, 35 7
Authorization issues, 35 7
Companies, 35 7
Local authorities, 35 8
Building societies, 35 11
Enforceability issues, 35 13
Currency swaps: Monetary obligations?, 35 13
Wagering contracts, 35 20
Failures of performance: Termination, damages, 35 23
Early termination clause, 35 23
Validity, 35 23
Bankruptcy and insolvency issues, 35 24
Company voluntary arrangements, 35 25
Administration, 35 25
Receivership, 35 25
Voluntary winding up as a result of a decision of the shareholders
(Sections 84 to 116), 35 25
t Contents
Liquidation as a result of a decision of the court (Sections
117 to 162), 35 26
Special provisions relating to companies subject to administration and
liquidation, 35 26
Secondary market issues, 35 28
CHAPTER 36: Legal Aspects of Currency and Interest Rate
Swaps: Japan, 36 1
Masayuki Yoshida
Creation and documentation of the swap agreement, 36 4
Enforceability of oral agreements, 36 4
Standardization efforts, 36 5
Master agreements, 36 5
Setoff, 36 6
Foreign exchange and bank regulations, 36 6
Authorization issues, 36 7
Swaps with specific categories of Japanese parties, 36 8
Partnerships, 36 8
Trusts, 36 8
Regulated and public companies, 36 8
Failures of performance: Termination, damages and bankruptcy, 36 8
Termination, 36 8
Measure of damages, 36 8
Bankruptcy, 36 8
Gambling laws, 36 9
Governing law, 36 9
Secondary market issues, 36 9
PartX
Regulatory Issues
CHAPTER 37: Regulation of Swaps in the United States, 37 1
William P. Rogers, Jr.
Bank capital adequacy guidelines, 37 3
Overview, 37 4
Collateral and guarantees, 37 4
Swaps and foreign exchange contracts, 37 6
Risk weights, 37 6
Basic calculation, 37 8
Mark to market values, 37 8
Potential future credit exposure values, 37 8
Risk weights, 37 8
Netting, 37 8
Future developments, 37 9
Federal Home Loan Bank swap guidelines, 37 10
Securities regulation, 37 10
Commodities regulation, 37 11
Safe harbor, 37 12
Contents xiv
Insurance regulation, 37 13
No action interpretation for interest rate caps, 37 13
Financial guaranty insurance, 37 14
Proposed regulatory accounting standards, 37 15
Bankruptcy, 37 16
U.S. corporations, 37 16
Banks and thrift institutions, 37 17
Netting, 37 18
Cherry picking, 37 19
Pre insolvency payments, 37 20
Written agreements provisions, 37 20
Appendix 37.1: Excerpt from final capital guidelines, 37 22
Appendix 37.2: Federal home loan banks interest rate swap, cap, collar and
floor policy guidelines, 37 25
Appendix 37.3: Draft SEC no action letter, 37 38
Appendix 37.4: New York State insurance: Interpretive letter, 37 42
Appendix 37.5: Proposed regulatory accounting standards, 37 43
Appendix 37.6: S.396 37 51
Appendix 37.7: FIRREA and FDIC Policy Statement excerpt, 37 54
CHAPTER 38: Regulatory Issues: United Kingdom, 38 1
Michael Canby and Heather Pilley
Financial Services Act and related rules and regulations, 38 4
Professionals, 38 5
Overseasons persons, 38 8
U.K. corporate swap counterparties, 38 9
Authorized persons, 38 10
Unsolicited calls and advertising, 38 10
Building societies, 38 11
Local authorities, 38 13
Capital adequacy, 38 16
CHAPTER 39: Regulation of Currency and Interest Rate
Transactions in Canada, 39 1
Thomas A. McKee and Jeffrey S. Graham
Regulation of transactions, 39 4
Gaming and insurance legislation, 39 5
Provincial securities, investment contract and commodity futures
legislation, 39 6
Interest rate and currency swaps, 39 6
Exchange traded options, 39 8
Commodity futures contracts and commodity futures
options, 39 9
Regulation of participants, 39 12
Banks, 39 12
Trust companies, loan companies and insurance corporations, 39 14
Securities dealers, 39 15
Conclusion, 39 15
i Contents
CHAPTER 40: Commodity Price Exposure Management, 40 1
Thomas A. Russo and David S. Mitchell
CFTC exclusive jurisdiction over futures contracts and commodity
option contracts, 40 4
Futures contracts, 40 4
Commodity option contracts, 40 4
Commodity definition, 40 4
Off exchange trading restrictions, 40 5
Express limits on CFTC jurisdiction, 40 5
SEC savings clause, 40 5
Treasury amendment, 40 6
Forward contract exclusion, 40 7
CFTC/SEC jurisdiction^ accord, 40 7
Characteristics of futures contracts and commodity option
contracts, 40 7
Development of CEA issues, 40 8
Proposed CFTC regulation of hybrid instruments, 40 9
Advance notice of proposed rulemaking, 40 9
January proposals, 40 11
Statutory interpretation, 40 11
Proposed rules, 40 11
Summary of comments, 40 12
CFTC final action, 40 12
Exemptive rules, 40 12
Policy statement on swap transactions, 40 13
Criteria for safe harbor treatment, 40 14
Conclusion, 40 18
Glossary, GI 1
Tanya Beder, Clifford W. Smith, Jr. and Robert J. Schwartz
Index, 1 1
|
| any_adam_object | 1 |
| building | Verbundindex |
| bvnumber | BV004619425 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.3 |
| callnumber-search | HG6024.3 |
| callnumber-sort | HG 46024.3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 640 QP 750 |
| ctrlnum | (OCoLC)21876928 (DE-599)BVBBV004619425 |
| dewey-full | 332.64/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 |
| dewey-search | 332.64/5 |
| dewey-sort | 3332.64 15 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| genre_facet | Aufsatzsammlung |
| id | DE-604.BV004619425 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:15:03Z |
| institution | BVB |
| isbn | 0133819639 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002837733 |
| oclc_num | 21876928 |
| open_access_boolean | |
| owner | DE-384 DE-473 DE-BY-UBG DE-739 |
| owner_facet | DE-384 DE-473 DE-BY-UBG DE-739 |
| physical | Getr. Zählung graph. Darst. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | New York Inst. of Finance |
| record_format | marc |
| spelling | The handbook of currency and interest rate risk management Robert J. Schwartz ... (ed.) New York u.a. New York Inst. of Finance 1990 Getr. Zählung graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financial futures Foreign exchange Accounting Hedging (Finance) Interest rate futures Interest rate risk Options (Finance) Swaps (Finance) Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Swap (DE-588)4199581-8 gnd rswk-swf Management (DE-588)4037278-9 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Internationaler Kapitalmarkt (DE-588)4027402-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Wechselkurs (DE-588)4064921-0 gnd rswk-swf Währungsrisiko (DE-588)4064157-0 gnd rswk-swf Zinsswap (DE-588)4199578-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Terminhandel (DE-588)4059499-3 gnd rswk-swf Termingeschäft (DE-588)4117190-1 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Zinsänderungsrisiko (DE-588)4067851-9 s Wechselkursänderung (DE-588)4129405-1 s Internationaler Kapitalmarkt (DE-588)4027402-0 s Risikomanagement (DE-588)4121590-4 s DE-604 Finanzmanagement (DE-588)4139075-1 s Wechselkurs (DE-588)4064921-0 s Termingeschäft (DE-588)4117190-1 s Swap (DE-588)4199581-8 s Finanzierung (DE-588)4017182-6 s Zinsswap (DE-588)4199578-8 s Währungsrisiko (DE-588)4064157-0 s Management (DE-588)4037278-9 s 1\p DE-604 2\p DE-604 Terminhandel (DE-588)4059499-3 s 3\p DE-604 Schwartz, Robert J. Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002837733&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | The handbook of currency and interest rate risk management Financial futures Foreign exchange Accounting Hedging (Finance) Interest rate futures Interest rate risk Options (Finance) Swaps (Finance) Zinsänderungsrisiko (DE-588)4067851-9 gnd Swap (DE-588)4199581-8 gnd Management (DE-588)4037278-9 gnd Wechselkursänderung (DE-588)4129405-1 gnd Finanzmanagement (DE-588)4139075-1 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Finanzierung (DE-588)4017182-6 gnd Wechselkurs (DE-588)4064921-0 gnd Währungsrisiko (DE-588)4064157-0 gnd Zinsswap (DE-588)4199578-8 gnd Risikomanagement (DE-588)4121590-4 gnd Terminhandel (DE-588)4059499-3 gnd Termingeschäft (DE-588)4117190-1 gnd |
| subject_GND | (DE-588)4067851-9 (DE-588)4199581-8 (DE-588)4037278-9 (DE-588)4129405-1 (DE-588)4139075-1 (DE-588)4027402-0 (DE-588)4017182-6 (DE-588)4064921-0 (DE-588)4064157-0 (DE-588)4199578-8 (DE-588)4121590-4 (DE-588)4059499-3 (DE-588)4117190-1 (DE-588)4143413-4 |
| title | The handbook of currency and interest rate risk management |
| title_auth | The handbook of currency and interest rate risk management |
| title_exact_search | The handbook of currency and interest rate risk management |
| title_full | The handbook of currency and interest rate risk management Robert J. Schwartz ... (ed.) |
| title_fullStr | The handbook of currency and interest rate risk management Robert J. Schwartz ... (ed.) |
| title_full_unstemmed | The handbook of currency and interest rate risk management Robert J. Schwartz ... (ed.) |
| title_short | The handbook of currency and interest rate risk management |
| title_sort | the handbook of currency and interest rate risk management |
| topic | Financial futures Foreign exchange Accounting Hedging (Finance) Interest rate futures Interest rate risk Options (Finance) Swaps (Finance) Zinsänderungsrisiko (DE-588)4067851-9 gnd Swap (DE-588)4199581-8 gnd Management (DE-588)4037278-9 gnd Wechselkursänderung (DE-588)4129405-1 gnd Finanzmanagement (DE-588)4139075-1 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Finanzierung (DE-588)4017182-6 gnd Wechselkurs (DE-588)4064921-0 gnd Währungsrisiko (DE-588)4064157-0 gnd Zinsswap (DE-588)4199578-8 gnd Risikomanagement (DE-588)4121590-4 gnd Terminhandel (DE-588)4059499-3 gnd Termingeschäft (DE-588)4117190-1 gnd |
| topic_facet | Financial futures Foreign exchange Accounting Hedging (Finance) Interest rate futures Interest rate risk Options (Finance) Swaps (Finance) Zinsänderungsrisiko Swap Management Wechselkursänderung Finanzmanagement Internationaler Kapitalmarkt Finanzierung Wechselkurs Währungsrisiko Zinsswap Risikomanagement Terminhandel Termingeschäft Aufsatzsammlung |
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