Fixed income strategy: the practitioner's guide to riding the curve
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2003
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVII, 204 S. graph. Darst. |
| ISBN: | 0470850639 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents Acknowledgments xi
Biography xiii
Introduction xv
PART I BASIC TOOLS FOR ESTABLISHING A FIXED INCOME STRATEGY 1
1 Fixed income basics 3
1.1 Pricing a bond 3
1.2 Market risk: The price yield relationship 5
1.3 Yield curve risk: The yield maturity relationship 9
1.4 Beyond theoretical value: Other sources of risk 13
1.5 Sources of return 15
1.6 Summary 16
Notes 16
Recommended reading 17
2 Fixed Income Securities: Beyond the Basics 19
2.1 Spread risk: Evaluating bonds of different quality 19
2.2 Volatility risk: Evaluating bonds with embedded options 21
2.3 Interest rate derivatives 27
2.3.1 Futures 27
2.3.2 Options 29
2.3.3 Swaps 32
Notes 36
Recommended reading 37
3 Economic Fundamentals 39
3.1 The building blocks of economic analysis 39
3.2 Interest rate theories: Forecasting market direction 44
3.3 Yield curve models: Forecasting movements in the yield curve 50
3.4 Spread theories: Anticipating changes in the risk premium 54
viii Contents
3.5 Volatility models: Anticipating changes in volatility 57
3.6 The efficient markets hypothesis 58
3.7 Chaos theory 59
3.8 Economic fundamentals: Uses and misuses 60
Notes 61
PART II ENHANCED TOOLS FOR ESTABLISHING A VIEW ON
INTEREST RATES 63
4 Government policy: The interface between economics and politics 65
4.1 The political economy perspective 65
4.1.1 Political business cycles 65
4.1.2 Budget deficits and monetary policy 67
4.1.3 Central bank independence 68
4.1.4 Policy objectives 68
4.1.5 The monetary policy mechanism 69
4.2 Anticipating changes in monetary policy 69
4.2.1 Fed watching 69
4.2.2 ECB watching 71
4.3 Implications for fixed income investors 73
Notes 74
Recommended reading 75
5 Human Factors 77
5.1 Group behavior: A demographic approach 77
5.2 The inherently human nature of markets: A psychological approach 83
5.2.1 Information processing 84
5.2.2 Attitude and mood: The effect on risk tolerance and judgment 88
5.2.3 Social psychology: The herding phenomenon 91
5.2.4 Implications for fixed income investors 94
5.2.5 Limitations of the psychological approach 96
Notes 96
Recommended reading 97
Appendix: Summary of psychological phenomena 98
6 Technical Analysis: Applied Social Psychology 99
6.1 Fundamentalists versus technicians 99
6.2 The basic tools of technical analysis 100
6.3 The contrarian approach 109
6.4 The smart money approach 111
6.5 Implications for fixed income investors 112
6.6 The limitations of technical analysis 113
Notes 113
Recommended reading 114
7 Other Techniques for Short Term Analysis 115
7.1 Flow analysis 115
Contents ix
7.2 Supply and demand analysis 118
7.3 Seasonal analysis 120
7.4 Quantitative analysis 121
7.5 The limitations of statistical methods 125
Notes 126
8 An Integrated Approach to Bond Strategy 127
8.1 An interdisciplinary model 127
8.2 The appropriate use of tools 130
8.3 Resolving mixed signals 132
8.4 Evaluating downside risk 133
8.5 System checks 133
8.6 A template for constructing a view on which to trade 135
8.7 Limitations of the interdisciplinary approach 137
Notes 137
Recommended reading 138
PART III IMPLEMENTING YOUR VIEW 139
9 Fixed Income Instruments, Investors and Portfolio
Management Styles 141
9.1 The fixed income universe 141
9.1.1 Government securities 142
9.1.2 Corporate securities 144
9.1.3 Structured securities 145
9.1.4 Fixed income derivatives 146
9.1.5 Structured products 147
9.1.6 Country and currency considerations 148
9.2 Investor types 149
9.3 Portfolio management 153
9.3.1 Passive portfolio management 154
9.3.2 Structured portfolio management (asset liability management
orALM) 155
9.3.3 Active portfolio management 156
Notes 160
Recommended reading 161
10 Fixed Income Trading 163
10.1 Market directional bets I63
10.2 Yield curve bets: Steepeners and flatteners 165
10.3 Yield curve bets: Rising and falling curvature 167
10.4 Spread bets 169
10.5 Volatility bets 171
10.6 Summary i72
Notes 174
Appendix: Bullets, barbells, and butterflies 175
x Contents
11 Odds and Ends 177
11.1 Asset allocation 177
11.2 Individual bond selection 179
11.3 Leverage 180
11.4 Risk management 180
11.5 Strategy management 182
Notes 183
Recommended reading 183
12 Survival Principles for the Financial Battlefield 185
12.1 Six pearls of wisdom 185
12.2 Concluding remarks 187
Bibliography 189
Index 195
|
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| id | DE-604.BV019612247 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:01:19Z |
| institution | BVB |
| isbn | 0470850639 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012941903 |
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| physical | XVII, 204 S. graph. Darst. |
| publishDate | 2003 |
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| series2 | Wiley finance series |
| spelling | Henderson, Tamara Mast Verfasser aut Fixed income strategy the practitioner's guide to riding the curve Tamara Mast Henderson Chichester Wiley 2003 XVII, 204 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Mathematisches Modell Fixed-income securities Fixed-income securities Mathematical models Verzinsung (DE-588)4202008-6 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s DE-604 Kapitalanlage (DE-588)4073213-7 s Verzinsung (DE-588)4202008-6 s Mathematisches Modell (DE-588)4114528-8 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012941903&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Henderson, Tamara Mast Fixed income strategy the practitioner's guide to riding the curve Mathematisches Modell Fixed-income securities Fixed-income securities Mathematical models Verzinsung (DE-588)4202008-6 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Kapitalanlage (DE-588)4073213-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4202008-6 (DE-588)4121262-9 (DE-588)4073213-7 (DE-588)4114528-8 |
| title | Fixed income strategy the practitioner's guide to riding the curve |
| title_auth | Fixed income strategy the practitioner's guide to riding the curve |
| title_exact_search | Fixed income strategy the practitioner's guide to riding the curve |
| title_full | Fixed income strategy the practitioner's guide to riding the curve Tamara Mast Henderson |
| title_fullStr | Fixed income strategy the practitioner's guide to riding the curve Tamara Mast Henderson |
| title_full_unstemmed | Fixed income strategy the practitioner's guide to riding the curve Tamara Mast Henderson |
| title_short | Fixed income strategy |
| title_sort | fixed income strategy the practitioner s guide to riding the curve |
| title_sub | the practitioner's guide to riding the curve |
| topic | Mathematisches Modell Fixed-income securities Fixed-income securities Mathematical models Verzinsung (DE-588)4202008-6 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Kapitalanlage (DE-588)4073213-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Mathematisches Modell Fixed-income securities Fixed-income securities Mathematical models Verzinsung Festverzinsliches Wertpapier Kapitalanlage |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012941903&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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