Capital market instruments: analysis and valuation
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Palgrave/Macmillan
2010
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| Edition: | 3. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXVII, 546 S. Ill., graph. Darst. |
| ISBN: | 9780230576032 |
Staff View
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Record in the Search Index
| _version_ | 1804142796085395456 |
|---|---|
| adam_text | CAPITAL MARKET INSTRUMENTS ANALYSIS AND VALUATION THIRD EDITION MOORAD
CHOUDHRY DIDIER JOANNAS GINO LANDUYT RICHARD PEREIRA ROD PIENAAR
MACMILLAN CONTENTS LIST OF FIGURES XVII LIST OF TABLES XXI FOREWORD
XXIII PREFACE XXIV PREFACE TO THE FIRST EDITION XXVI ACKNOWLEDGEMENTS
XXVII PARTI INTRODUCTION 1 1 INTRODUCTION TO FINANCIAL MARKET
INSTRUMENTS 3 CAPITAL MARKET FINANCING 3 DERIVATIVE INSTRUMENTS 7
SECURITIES AND DERIVATIVES 9 2 MARKET-DETERMINED INTEREST RATES, AND THE
TIME VALUE OF MONEY 11 THE MARKET-DETERMINED INTEREST RATE 11 THE TIME
VALUE OF MONEY 14 PART II DEBT CAPITAL MARKET CASH INSTRUMENTS 23 3
MONEY MARKET INSTRUMENTS AND FOREIGN EXCHANGE 25 OVERVIEW 25 SECURITIES
QUOTED ON A YIELD BASIS 26 SECURITIES QUOTED ON A DISCOUNT BASIS 29
COMMERCIAL PAPER 31 ASSET-BACKED COMMERCIAL PAPER 35 FOREIGN EXCHANGE 39
4 FIXED INCOME SECURITIES I: THE BOND MARKETS 46 INTRODUCTION 46 MARKET
PARTICIPANTS 47 BONDS BY ISSUERS 49 THE MARKETS 56 CREDIT RISK 60
PRICING AND YIELD 63 BOND PRICING AND YIELD: THE TRADITIONAL APPROACH 64
ACCRUED INTEREST, CLEAN AND DIRTY BOND PRICES 74 BOND PRICING AND YIELD:
THE CURRENT APPROACH 77 BOND PRICE IN CONTINUOUS TIME 81 FORWARD RATES
86 CONTENTS XIII THE TERM STRUCTURE OF INTEREST RATES 88 CASE STUDY:
DERIVING A DISCOUNT FUNCTION 100 ANALYSING AND INTERPRETING THE YIELD
CURVE 107 5 FIXED INCOME SECURITIES II: INTEREST-RATE RISK 123 DURATION,
MODIFIED DURATION AND CONVEXITY 123 APPENDIX 5.1: MEASURING CONVEXITY
135 APPENDIX 5.2: TAYLOR EXPANSION OF THE PRICE/YIELD FUNCTION 137 6
FIXED INCOME SECURITIES III: CREDIT ANALYSIS, BOND SPREADS AND RELATIVE
VALUE MEASUREMENT 139 CREDIT RATINGS 140 CREDIT ANALYSIS 143
INDUSTRY-SPECIFIC ANALYSIS 147 THE ART OF CREDIT ANALYSIS 149 BOND
SPREADS AND RELATIVE VALUE 150 THE Z-SPREAD 152 7 INTEREST RATE
MODELLING 159 INTRODUCTION 159 ONE-FACTOR TERM STRUCTURE MODELS 163
FURTHER ONE-FACTOR TERM STRUCTURE MODELS 165 THE HEATH, JARROW AND
MORTON MODEL 167 CHOOSING A TERM STRUCTURE MODEL 171 APPENDIX 7.1:
GEOMETRIQ BROWNIAN MOTION 173 8 FITTING THE YIELD CURVE 176 YIELD CURVE
SMOOTHING 176 NON-PARAMETRIC METHODS 180 COMPARING CURVES 184 9 B-SPLINE
MODELLING AND FITTING THE TERM STRUCTURE 186 INTRODUCTION 186
BOOTSTRAPPING 187 AN ADVANCED METHODOLOGY: THE CUBIC B-SPLINE 188
MATHEMATICAL TOOLS 193 B-SPLINES 199 CONCLUSION 201 10 INFLATION-INDEXED
BONDS AND DERIVATIVES 203 INTRODUCTION AND BASIC CONCEPTS 203
INDEX-LINKED BOND YIELDS 206 ANALYSIS OF REAL INTEREST RATES 211
INFLATION-INDEXED DERIVATIVES 213 APPENDIX 10.1: CURRENT ISSUERS OF
PUBLIC-SECTOR INDEXED SECURITIES 221 APPENDIX 10.2: US TREASURY
INFLATION-INDEXED SECURITIES (TIPS) 221 11 TERM STRUCTURE CONSTRUCTION
USING QUANTLIB 224 GETTING STARTED 224 USING QUANTLIB S YIELD CURVE
BOOTSTRAPPING 225 XIV CONTENTS PART III STRUCTURED FINANCIAL PRODUCTS
235 12 AN INTRODUCTION TO ASSET-BACKED SECURITIES AND SECURITISATION 237
THE CONCEPT OF SECURITISATION 237 REASONS FOR UNDERTAKING SECURITISATION
238 BENEFITS OF SECURITISATION TO INVESTORS 240 THE PROCESS OF
SECURITISATION 240 ILLUSTRATING THE PROCESS OF SECURITISATION 245
SECURITISATION POST-CREDIT CRUNCH 249 13 MORTGAGE-BACKED SECURITIES 254
MORTGAGES 255 MORTGAGE RISK 259 SECURITIES 260 CASH FLOW PATTERNS 261
EVALUATION AND ANALYSIS OF MORTGAGE-BACKED BONDS 266 14 COLLATERALISED
DEBT OBLIGATIONS 273 AN OVERVIEW OF CDOS 273 INVESTOR ANALYSIS 277 CASH
FLOW CDO STRUCTURES 278 SYNTHETIC CDOS 283 RISK AND RETURN ON CDOS 287
PART IV DERIVATIVE INSTRUMENTS 293 15 SHORT-TERM INTEREST-RATE
DERIVATIVES 295 FORWARD CONTRACTS 302 SHORT-TERM INTEREST RATE FUTURES
302 APPENDIX 15.1: THE FORWARD INTEREST RATE AND FUTURES-IMPLIED FORWARD
RATE 310 APPENDIX 15.2: ARBITRAGE PROOF OF THE FUTURES PRICE BEING EQUAL
TO THE FORWARD PRICE 311 16 SWAPS 313 INTEREST RATE SWAPS 313
ZERO-COUPON SWAP PRICING 318 NON-VANILLA INTEREST-RATE SWAPS 326
CURRENCY SWAPS 328 SWAPTIONS 331 AN OVERVIEW OF INTEREST-RATE SWAP
APPLICATIONS 335 17 OPTIONS I 341 INTRODUCTION 341 OPTION INSTRUMENTS
346 OPTION PRICING: SETTING THE SCENE 348 CONTENTS XV 18 OPTIONS II 351
OPTION PRICING 351 THE BLACK-SCHOLES OPTION MODEL 353 INTEREST-RATE
OPTIONS AND THE BLACK MODEL 360 COMMENT ON THE BLACK-SCHOLES MODEL 363 A
FINAL WORD ON OPTION MODELS 364 APPENDIX 18.1: SUMMARY OF BASIC
STATISTICAL CONCEPTS 366 APPENDIX 18.2: LOGNORMAL DISTRIBUTION OF
RETURNS 366 APPENDIX 18.3: THE BLACK-SCHOLES MODEL IN MICROSOFT EXCEL
367 19 OPTIONS III 370 BEHAVIOUR OF OPTION PRICES 370 MEASURING OPTION
RISK: THE GREEKS 372 THE OPTION SMILE 378 CAPS AND FLOORS 381 20 CREDIT
DERIVATIVES 383 INTRODUCTION 383 CREDIT DEFAULT SWAPS 388 CREDIT-LINKED
NOTES 391 TOTAL RETURN SWAPS 392 CDS PORTFOLIO INDICES 398 INDEX TRANCHE
MARKET 399 IMPACT OF THE 2007-8 CREDIT CRUNCH: NEW CDS CONTRACTS 402
GENERAL APPLICATIONS OF CREDIT DERIVATIVES 403 CREDIT DERIVATIVES
PRICING AND VALUATION 409 APPENDIX 20.1: SAMPLE TERM SHEET FOR A CREDIT
DEFAULT SWAP TRADED BY XYZ BANK PIC 423 PARTV EQUITY CAPITAL MARKETS 427
21 INTRODUCTION TO EQUITY INSTRUMENT ANALYSIS 429 FIRM FINANCIAL
STRUCTURE AND COMPANY ACCOUNTS 429 VALUATION OF SHARES 434 DIVIDEND
POLICY 437 22 INTRODUCTION TO FINANCIAL RATIO ANALYSIS 440 KEY CONCEPTS
IN FINANCE 440 RATIO ANALYSIS 443 MANAGEMENT-LEVEL RATIO ANALYSIS 446
CORPORATE VALUATION 450 APPENDIX 22.1: CAPITAL ASSET PRICING MODEL 451
PART VI RISK MEASUREMENT AND VALUE-AT-RISK 455 23 VALUE-AT-RISK AND
CREDIT VAR 457 INTRODUCING VALUE-AT-RISK 457 XVI CONTENTS
VARIANCE-COVARIANCE VAR 461 HISTORICAL VAR METHODOLOGY 466 SIMULATION
METHODOLOGY J 467 VAR FOR FIXED INCOME INSTRUMENTS V - *- 469 STRESS
TESTING 475 VAR METHODOLOGY FOR CREDIT RISK 477 MODELLING CREDIT RISK
477 CREDITMETRICS* 479 APPLICATIONS OF CREDIT VAR 484 INTEGRATING THE
CREDIT RISK AND MARKET RISK FUNCTIONS 486 APPENDIX 23.1: ASSUMPTION OF
NORMALITY 487 PART VII THE 2007-9 FINANCIAL MARKET CRISIS 489 24 ORIGINS
AND IMPACT OF A FINANCIAL CRISIS 491 CHRONOLOGY OF A CRISIS: OVERVIEW OF
THE GREAT CREDIT CRISIS 2007-8 492 THE SHADOW BANKING SYSTEM 500
GLOBALISATION, SOVEREIGN WEALTH FUNDS AND THE GREENSPAN CONUNDRUM 502
THE ROLE OF CENTRAL BANKS 506 THE CARRY TRADE AND RISE OF DERIVATIVES
511 THE RISE IN DERIVATIVES USE AND THE ROLE OF QUANTITATIVE FINANCE
514 FINANCIAL INNOVATION AND SECURITISATION 517 POLITICAL INTERFERENCE
519 FURTHER REGULATORY SHORTCOMINGS 523 THE CREDIT RATING AGENCIES 526
BAD MANAGEMENT PRACTICES 527 CONCLUSION AND LESSONS TO BE LEARNT 528
INDEX 533
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| author | Choudhry, Moorad |
| author_facet | Choudhry, Moorad |
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| building | Verbundindex |
| bvnumber | BV025613343 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)705360661 (DE-599)BVBBV025613343 |
| discipline | Wirtschaftswissenschaften |
| edition | 3. ed. |
| format | Book |
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| id | DE-604.BV025613343 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:37:27Z |
| institution | BVB |
| isbn | 9780230576032 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020208151 |
| oclc_num | 705360661 |
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| owner_facet | DE-11 DE-92 DE-2070s DE-M382 |
| physical | XXVII, 546 S. Ill., graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Palgrave/Macmillan |
| record_format | marc |
| spelling | Choudhry, Moorad Verfasser aut Capital market instruments analysis and valuation Moorad Choudhry ... 3. ed. London [u.a.] Palgrave/Macmillan 2010 XXVII, 546 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finanzinstrument (DE-588)4461672-7 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 s Finanzinstrument (DE-588)4461672-7 s Bewertung (DE-588)4006340-9 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020208151&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Choudhry, Moorad Capital market instruments analysis and valuation Finanzinstrument (DE-588)4461672-7 gnd Kapitalmarkt (DE-588)4029578-3 gnd Bewertung (DE-588)4006340-9 gnd |
| subject_GND | (DE-588)4461672-7 (DE-588)4029578-3 (DE-588)4006340-9 |
| title | Capital market instruments analysis and valuation |
| title_auth | Capital market instruments analysis and valuation |
| title_exact_search | Capital market instruments analysis and valuation |
| title_full | Capital market instruments analysis and valuation Moorad Choudhry ... |
| title_fullStr | Capital market instruments analysis and valuation Moorad Choudhry ... |
| title_full_unstemmed | Capital market instruments analysis and valuation Moorad Choudhry ... |
| title_short | Capital market instruments |
| title_sort | capital market instruments analysis and valuation |
| title_sub | analysis and valuation |
| topic | Finanzinstrument (DE-588)4461672-7 gnd Kapitalmarkt (DE-588)4029578-3 gnd Bewertung (DE-588)4006340-9 gnd |
| topic_facet | Finanzinstrument Kapitalmarkt Bewertung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020208151&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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