Euro bonds: markets, infrastructure and trends
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hackensack, New Jersey [u.a.]
World Scientific
2014
|
| Schriftenreihe: | World Scientific series in finance
7 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXVIII, 259 S. graph. Darst., Kt. |
| ISBN: | 9814440159 9789814440158 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804150545605197824 |
|---|---|
| adam_text | Contents
Foreword
vii
Preface
ix
Acknowledgments
xiii
Author Biographies
xv
List of Figures
xxiii
List of Tables
xxvii
1.
The Bond Market in Europe
1
1.1
Introduction
.......................... 1
1.2
History and Development
.................. 3
1.3
The Main Features of Euro Bonds
............. 4
1.4
Government Bonds
...................... 10
1.5
Corporate Bonds
....................... 19
1.6
The
2008
Financial Crisis
.................. 26
1.7
The European Union Bond
................. 29
Appendix
I.A.
The Major European Bond Markets
....... 35
2.
The Market Infrastructure
49
2.1
Introduction
.......................... 49
2.2
The Retail Markets
...................... 50
2.3
The Electronic Markets
................... 51
2.4
The Clearing and Settlement System
............ 53
2.4.1
Post trading costs
.................. 54
2.4.2
The current market infrastructure
......... 57
XIX
xx
Euro Bonds: Markets, Infrastructure and Trends
2.5
The Role of Custodians
................... 59
2.5.1
The Central Securities Depositories
........ 60
3.
Government Bond Markets
65
3.1
Introduction
.......................... 65
3.2
The Euro Sovereign Bond Market Evolution
........ 66
3.3
Country Risk
......................... 68
3.4
Bond Spread Dynamics Country-specific Risk
....... 74
3.5
Fixed-income Markets and Financial Risk
Premia
..... 76
3.6
Sovereign Risk and ECB Policy
............... 80
4.
The Corporate Bond Market
87
4.1
Introduction
.......................... 87
4.2
Recent Evolution
....................... 88
4.3
Euro-corporate Bond Indices
................ 93
4.3.1
Bond indices and default probabilities
....... 99
4.4
Moody s
2011
Global Credit Report
............ 100
5.
Credit Rating Agencies
107
5.1
Introduction
.......................... 107
5.2
The CRAs
........................... 108
5.2.1
The role of CRAs
.................. 110
5.2.2
Credit ratings
....................
Ill
5.2.3
Taxonomy of rating
................. 115
5.3
Regulation of CRAs
..................... 117
5.3.1
Conflicts of interest
................. 123
5.4
The Importance of Competition
............... 126
5.5
Rating Methodologies
.................... 129
5.5.1
General principles of the rating process
...... 134
5.5.2
Input factors for the rating process
........ 138
5.5.3
Grading process for the rating agencies
...... 139
5.5.4
Rating announcement
................ 140
6.
Securitization Market
149
6.1
Introduction
.......................... 149
6.2
Asset Classes
......................... 150
6.3
The Securitization Process
................. 154
Contents xxi
6.4 Rationale
for Securitization
................. 159
6.5 The Market Evolution.................... 161
7. Market Bond Products 171
7.1
The Covered Bond
Market.................. 171
7.1.1
Introduction
..................... 171
7.1.2 Basic
features
.................... 172
7.1.3 Market
evolution
.................. 175
7.1.4
Primary
market................... 177
7.1.5
Secondary
market.................. 179
7.1.6
Covered bonds in the sovereign debt crisis
.... 182
7.2
Inflation-Linked Bonds
.................... 185
7.2.1
Introduction
..................... 185
7.2.2
The development
.................. 186
7.2.3
The role of ILBs
................... 187
7.2.4
ILBs and monetary policy
............. 189
7.2.5
Portfolio selection with ILBs
............ 191
7.3
Bond Exchange Traded Funds
................ 195
7.3.1
Introduction
..................... 195
7.3.2
The development
.................. 196
7.3.3
Basic features
.................... 198
7.3.4
Tracking errors and performance
.......... 200
7.3.5
Portfolio selection with BETFs
........... 202
Appendix
7.
A. Risk and Reward of Bond Portfolios
....... 209
Appendix 7.B. Two Approaches for ILBs Portfolio Selection
. . 210
Appendix 7.C. Two Approaches for BETFs Portfolio Selection
. 212
8.
Credit Derivatives Market
223
8.1
Introduction
.......................... 223
8.2
The CDS Market
....................... 225
8.2.1
The single-name CDS
............... 225
8.2.2
CDS as a measure of credit risk
.......... 227
8.2.3
Market features
................... 229
8.2.4
Factors determining the credit spread
....... 231
8.2.5
Bond yield and CDS spread
............ 234
8.2.6
Pricing a CDS
.................... 235
8.2.7
Multiname credit derivatives: basket products and
CDS indices
..................... 236
xxii
Euro Bonds: Markets, Infrastructure and Trends
8.3
Collateralized Debt Obligation
............... 238
8.4
Case Studies
......................... 241
8.4.1
Forward-looking measures of default probabilities
241
8.4.2
Extracting joint default probabilities from CDS
. 243
Appendix 8.A. Unconditional Default Probability
........ 246
Index
249
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| id | DE-604.BV041145794 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:40:38Z |
| institution | BVB |
| isbn | 9814440159 9789814440158 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026121339 |
| oclc_num | 867138650 |
| open_access_boolean | |
| owner | DE-703 DE-945 DE-M382 |
| owner_facet | DE-703 DE-945 DE-M382 |
| physical | XXVIII, 259 S. graph. Darst., Kt. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | World Scientific |
| record_format | marc |
| series | World Scientific series in finance |
| series2 | World Scientific series in finance |
| spelling | Euro bonds markets, infrastructure and trends Marida Bertocchi ... Hackensack, New Jersey [u.a.] World Scientific 2014 XXVIII, 259 S. graph. Darst., Kt. txt rdacontent n rdamedia nc rdacarrier World Scientific series in finance 7 Eurokapitalmarkt (DE-588)4015698-9 gnd rswk-swf Eurokapitalmarkt (DE-588)4015698-9 s DE-604 Bertocchi, Marida Sonstige (DE-588)137215819 oth World Scientific series in finance 7 (DE-604)BV040743817 7 Digitalisierung UB Bayreuth - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026121339&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Euro bonds markets, infrastructure and trends World Scientific series in finance Eurokapitalmarkt (DE-588)4015698-9 gnd |
| subject_GND | (DE-588)4015698-9 |
| title | Euro bonds markets, infrastructure and trends |
| title_auth | Euro bonds markets, infrastructure and trends |
| title_exact_search | Euro bonds markets, infrastructure and trends |
| title_full | Euro bonds markets, infrastructure and trends Marida Bertocchi ... |
| title_fullStr | Euro bonds markets, infrastructure and trends Marida Bertocchi ... |
| title_full_unstemmed | Euro bonds markets, infrastructure and trends Marida Bertocchi ... |
| title_short | Euro bonds |
| title_sort | euro bonds markets infrastructure and trends |
| title_sub | markets, infrastructure and trends |
| topic | Eurokapitalmarkt (DE-588)4015698-9 gnd |
| topic_facet | Eurokapitalmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026121339&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040743817 |
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