Demystifying fixed income analytics: a practical guide
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London ; New York
Routledge
2021
|
| Ausgabe: | First published |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxx, 459 Seiten Illustrationen, Diagramme |
| ISBN: | 9781138358812 9780367514792 |
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Datensatz im Suchindex
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| adam_text | Contents Figures Tables Case studies Foreword Preface Acknowledgements Abbreviations 1 Fixed income securities market: an overview Fixed income securities market - an introduction 1 Global debt markets - a review 2 US debt market 2 European debt market 3 Japanese debt market 7 Republic of Korea’s debt market 8 Malaysian debt market 9 Debt markets in India 9 Government debt market in India 13 Non-government securities/corporate bond market in India 13 Primary debt market in India (government vs. non government debts) 15 Secondary market trading in government securities 17 Secondary market trading in non-government securities 18 Issuance and settlement of debt securities in India 20 Primary issuance and settlement in government securities 20 Yield based auction 20 Price based auction 21 Underwriting in auction 23 xvii xix xxii xxiii xxv xxvii xxviii 1
viii Contents Different types of bidding 23 Issuance and settlement in non-government securities 24 Various participants in the debt securities market 26 Major investors in Indian debt market 26 Intermediaries in Indian debt market 31 2 Fixed income instruments: various classifications Basic features of fixed income security 37 Issuer 37 Maturity 39 Principal value 40 Currency denomination 41 Coupon 42 Yield 45 Debt market instruments: classification 46 Classification of debt instruments based on markets 46 Classification of debt instruments based on their feature 47 Issuing sectors and sub-sectors wise classification of debt instruments 56 Classification of debt instruments based on currency of debt issue 63 Regulatory classification of debt instruments (in India) 65 Self-learning exercise 66 3 Basic statistics Measures of central tendency 69 Arithmetic meanlaverage 69 Moving average 70 Median 71 Mode 72 Measures of dispersion 74 Absolute measures of dispersion 75 Relative measures of dispersion 79 Skewness and kurtosis 80 Skewness 80 Kurtosis 81 Correlation and regression 82 Correlation 83 Regression 85
Contents ix Probability distribution 88 Types of random variables 88 Probability 89 Probability functions 89 Method of counting 89 Probability distribution 90 Test of hypothesis 94 Null hypothesis 94 Alternative hypothesis 95 Type I and type II errors 96 Test statistic 97 Significance level 97 Critical region 98 P-value 99 Power 100 One-sided and two-sided test 100 Self-learning exercise 101 4 Risk and return measures Risk and return in bonds: meaning and linkages 103 Risks associated with fixed income securities 104 Interest rate risk 104 Reinvestment risk 105 Yield curve risk 106 Liquidity risk 109 Call risk (timing risk) 111 Credit risk 112 Legal risk 114 Foreign exchange risk 114 Volatility risk 115 Sovereign risk (country risk, political risk) 115 Return measures for fixed income securities 115 Nominal return/coupon rate (CR) 116 Current yield (CY) 116 Average return or yield to maturity (YTM) 118 Return till the call (put) date (YTC/YTP) 121 Yield to worst (YTW) and yield to best (YТВ) 121 Total return (TR) 122 Limitations of different yield measures 125 Self-learning exercise 127 103
x Contents 5 Term structures of interest rates Interest rates: meaning and different types 129 Some important interest rates in Indian debt market 130 Benchmark rate 130 Government securities yield 131 T-bill rate 131 Swap rate 131 Major determinants of bond yields 132 Supply or issuance of securities 132 OMO purchase/OMO sale by government 133 Sovereign credit rating 133 Expected future inflation (WPI/CPI) 134 Growth rate 134 Policy rate 135 Reserve/liquidity ratio (CRR SLR) 135 Global economy 136 FII movements 136 Major exchange rate 137 Default liquidity factor 138 Domestic stock market 139 Term structure of interest rates: different types 139 Yield curve 140 Methods of constructing yield curve 144 Zero coupon yield/spot rate curve 148 Forward rate curve 154 The credit spread and non-government security ZCYC 155 Theories of interest rate term structure 156 Expectations theory 156 Liquidity preference theory 157 Market segmentation theory 158 Preferred habitat theory 158 Self-learning exercise 162 6 Pricing and valuation techniques Valuation of bond: meaning 165 Valuation of a bond: broader steps 166 Step 1: estimating all future cash flows 166 Step 2: estimating present value of future cash flows 168 Step 3: deriving final value of the security 170
Contents xi Valuation of bond: important issues 174 Bond valuation in-between two coupon payment dates/ with accrued interest 174 Selection of day count conventions 176 Selection of single or multiple discounting rates 179 Presence of some special feature(s) 182 Valuation of floating rate bond 182 Example 183 Example 184 Example 184 Valuation of bond with embedded options 186 Example 187 Valuation of FI securities: RBI-FIMMDA guidelines 189 Self-learning exercise 194 7 Interest rate sensitivity measures Bond price sensitivity to interest rates: meaning 197 Price/yield relationship 200 Various interest rate sensitivity measures 203 Duration or Macaulay duration 203 Modified duration 205 Effective duration 206 M-duration of floating rate bond 207 Price value of a basis point (PVBP or PVOl 208 Portfolio sensitivity measure 208 Limitations of duration/m-duration/PVOl 210 Linearity in the price-yield relations 210 Parallel shift in yield curve 212 Convexity: a supplement to m-duration 212 Example 213 Self-learning exercise 217 197 8 Financial derivative contracts Financial derivatives: meaning types of contracts 220 Exchange traded derivatives 221 Over-the-counter derivatives 221 Forwards 223 Futures 223 Swaps 224 Options 224 220
xii Contents Financial derivatives market: worldwide in India 226 Participants in financial derivatives market 230 Hedgers 2 30 Speculators 231 Arbitrageurs 231 Brokers 231 Exchange 231 Clearing house 232 Application of financial derivatives 232 Market completeness 232 Speculation 232 Risk management 232 Trading efficiency 233 Price discovery 233 Self-learning exercise 234 9 Interest rate futures Interest rate futures contract: meaning product structure 236 How does an interest rate futures contract work? 237 Interest rate futures market in India 238 Important features ofIRF contract 240 Underlying instrument (actual or notional) 240 Deliverable basket 241 Conversion factor 241 Implied repo rate 242 Cheapest-to-deliver issue 244 Interest rate futures contract: product structures in India 245 T-bills futures contract in India 245 Single bond futures contract in India 247 Pricing of interest rate futures 250 Example: pricing ofIRF contract 251 Solution 251 Method of settlement 252 Mark-to-market (MTM) settlement 253 Final settlement 254 Market participants 254 Banks 255 Primary dealers 255 Foreign portfolio investors (FPIs) 255 Mutual funds 255 236
Contents xiii Insurance companies 255 Corporates 256 NBFCs 256 Individuals 256 Advantage/usefulness ofIRF contract 257 Hedging underlying exposure 257 Use of arbitrage opportunity 267 Directional trading 268 Asset-liability/duration management 270 Self-learning exercise 278 10 Forward rate agreement and interest rate swaps FRA 1RS: meaning product structure 282 Definition of FRA 282 Example of FRA 282 Mechanics of FRA 282 Forward rate agreement: a sample deal 283 Definition of 1RS 284 FRA and 1RS market in India 286 Pricing of forward rate agreement 287 Example: pricing of FRA 288 Solution 288 Settlement of an FRA deal 289 Example: FRA settlement 289 Different types of interest rate swaps 290 Important structures of 1RS in India 291 INBMK swap 291 Interest rate swaps (benchmark: INBMK): a sample deal 292 MIBOR overnight index swap 294 Interest rate swap (benchmark: О/N MIBOR): a sample deal 295 MIFOR overnight index swap 297 Theory of comparative advantage in 1RS 298 Pricing and valuation of interest rate swap 301 Pricing of 1RS 301 Marked-to-market (MTM) of INBMK swaps 304 Marked-to-market valuation of MIBOR-OIS 306 Settlement of periodical interest in 1RS contracts 310 Settlement of periodical interest in INBMK swaps 310 Settlement of periodical interest in MIBOR-OIS 312 281
xiv Contents Offsetting/premature unwinding/cancellation of FRA/ 1RS 314 Premature unwinding/termination of INBMK Swaps 316 Premature unwinding/termination of OIS 317 Usefulness of FRA/interest rate swap 317 Hedging 318 Arbitrage 325 Trading/market making 325 Managing liquidity 327 Asset-liability management 327 Risk in FRA/interest rate swap 327 Interest rate risk 328 Credit risk 329 Documentation for FRA/interest rate swap 329 ISDA Master Agreement 330 A schedule 330 A Credit Support Annex (CSA) 330 Transaction(s) confirmation 330 Self-learning exercise 335 11 Interest rate options and structured products Interest rate options: meaning structures 337 Pricing of interest rate options 339 Intrinsic value 339 Time value 340 Factors affecting options1 price 340 Pricing models for interest rate options 342 Arbitrage-free binomial option pricing model 343 Interest rate caps, floors, and collar: meaning structures 347 Self-learning exercise 350 12 Credit default swaps Meaning and definition of credit derivatives 351 Credit default swaps (CDS) 352 History and growth of credit default swaps 353 Reasons for high growth in CDS market 353 Different types of credit default swaps 355 Binary or digital swaps 355 Basket CDS 356 Portfolio CDS 356
Contents XV Index based CDS 356 Cancelable default swap 357 Contingent default swap 357 Leveraged default swap 357 Features of credit default swaps 358 Protection buyer protection seller 358 Reference asset reference entity 358 Asset and maturity mismatches 359 Default swap premium 360 Unwinding CDS position 360 Credit events 360 Compensation settlement 361 Current scope and future challenges for CDS in India 362 Self-learning exercise 364 13 Trading and management strategies Bond portfolio management: meaning 366 Setting investment objectives 367 Development and implementation of portfolio management strategy 371 Portfolio monitoring and necessary adjustments 372 Passive management strategies 372 Bond indexing 373 Cash flow matching 375 Classical immunization 377 Advantages and limitations of passive strategy 379 Active management strategies 380 Important news affecting interest rates and bond yields 381 Yield curve shifts and different types of active management strategies 386 No shift in the yield curve: strategies 387 Parallel shift in the yield curve and desired strategies 389 Unparallel shift in the yield curve 391 Yield curve shifts with twists 392 Yield curve shifts with humpedness 393 Unparallel shift in the yield curve: possible strategies 395 Strengths and weaknesses for active management 397 Strengths 397 Weaknesses 398 Bond portfolio optimization 398 Objective function 399 366
xvi Contents List of constraints 400 Self-learning exercise 401 14 Risk management (focus: market risk) Risk management and Basel accord: an overview 405 Market risk 406 Interest rate risk 407 Liquidity risk 407 Credit risk 408 Non-financial or operational risk 408 Measuring risk in fixed income securities 409 Standardized approach 409 Internal model approach (IMA) 411 Value at risk: a risk measurement tool 411 Variance-covariance (VCV) approach 412 Historical simulation (HS) approach 415 Monte-Carlo simulation (MCS) approach 417 Expected shortfall: a risk measure beyond VaR 418 Example (VaR and ES on bond and equity portfolio) 419 Solution 420 Back testing and stress testing of risk measurement tools 420 Back testing VaR ES estimates 420 Stress testing VaR ES estimates 422 Market risk capital charge on fixed income portfolio of a bank 423 Market risk capital charge under SMM 423 Limitations of standardized method to estimate MRCC 428 Market risk capital charge under IMA 431 Self-learning exercise 434 Glossary Index 405 437 452
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| adam_txt |
Contents Figures Tables Case studies Foreword Preface Acknowledgements Abbreviations 1 Fixed income securities market: an overview Fixed income securities market - an introduction 1 Global debt markets - a review 2 US debt market 2 European debt market 3 Japanese debt market 7 Republic of Korea’s debt market 8 Malaysian debt market 9 Debt markets in India 9 Government debt market in India 13 Non-government securities/corporate bond market in India 13 Primary debt market in India (government vs. non government debts) 15 Secondary market trading in government securities 17 Secondary market trading in non-government securities 18 Issuance and settlement of debt securities in India 20 Primary issuance and settlement in government securities 20 Yield based auction 20 Price based auction 21 Underwriting in auction 23 xvii xix xxii xxiii xxv xxvii xxviii 1
viii Contents Different types of bidding 23 Issuance and settlement in non-government securities 24 Various participants in the debt securities market 26 Major investors in Indian debt market 26 Intermediaries in Indian debt market 31 2 Fixed income instruments: various classifications Basic features of fixed income security 37 Issuer 37 Maturity 39 Principal value 40 Currency denomination 41 Coupon 42 Yield 45 Debt market instruments: classification 46 Classification of debt instruments based on markets 46 Classification of debt instruments based on their feature 47 Issuing sectors and sub-sectors wise classification of debt instruments 56 Classification of debt instruments based on currency of debt issue 63 Regulatory classification of debt instruments (in India) 65 Self-learning exercise 66 3 Basic statistics Measures of central tendency 69 Arithmetic meanlaverage 69 Moving average 70 Median 71 Mode 72 Measures of dispersion 74 Absolute measures of dispersion 75 Relative measures of dispersion 79 Skewness and kurtosis 80 Skewness 80 Kurtosis 81 Correlation and regression 82 Correlation 83 Regression 85
Contents ix Probability distribution 88 Types of random variables 88 Probability 89 Probability functions 89 Method of counting 89 Probability distribution 90 Test of hypothesis 94 Null hypothesis 94 Alternative hypothesis 95 Type I and type II errors 96 Test statistic 97 Significance level 97 Critical region 98 P-value 99 Power 100 One-sided and two-sided test 100 Self-learning exercise 101 4 Risk and return measures Risk and return in bonds: meaning and linkages 103 Risks associated with fixed income securities 104 Interest rate risk 104 Reinvestment risk 105 Yield curve risk 106 Liquidity risk 109 Call risk (timing risk) 111 Credit risk 112 Legal risk 114 Foreign exchange risk 114 Volatility risk 115 Sovereign risk (country risk, political risk) 115 Return measures for fixed income securities 115 Nominal return/coupon rate (CR) 116 Current yield (CY) 116 Average return or yield to maturity (YTM) 118 Return till the call (put) date (YTC/YTP) 121 Yield to worst (YTW) and yield to best (YТВ) 121 Total return (TR) 122 Limitations of different yield measures 125 Self-learning exercise 127 103
x Contents 5 Term structures of interest rates Interest rates: meaning and different types 129 Some important interest rates in Indian debt market 130 Benchmark rate 130 Government securities yield 131 T-bill rate 131 Swap rate 131 Major determinants of bond yields 132 Supply or issuance of securities 132 OMO purchase/OMO sale by government 133 Sovereign credit rating 133 Expected future inflation (WPI/CPI) 134 Growth rate 134 Policy rate 135 Reserve/liquidity ratio (CRR SLR) 135 Global economy 136 FII movements 136 Major exchange rate 137 Default liquidity factor 138 Domestic stock market 139 Term structure of interest rates: different types 139 Yield curve 140 Methods of constructing yield curve 144 Zero coupon yield/spot rate curve 148 Forward rate curve 154 The credit spread and non-government security ZCYC 155 Theories of interest rate term structure 156 Expectations theory 156 Liquidity preference theory 157 Market segmentation theory 158 Preferred habitat theory 158 Self-learning exercise 162 6 Pricing and valuation techniques Valuation of bond: meaning 165 Valuation of a bond: broader steps 166 Step 1: estimating all future cash flows 166 Step 2: estimating present value of future cash flows 168 Step 3: deriving final value of the security 170
Contents xi Valuation of bond: important issues 174 Bond valuation in-between two coupon payment dates/ with accrued interest 174 Selection of day count conventions 176 Selection of single or multiple discounting rates 179 Presence of some special feature(s) 182 Valuation of floating rate bond 182 Example 183 Example 184 Example 184 Valuation of bond with embedded options 186 Example 187 Valuation of FI securities: RBI-FIMMDA guidelines 189 Self-learning exercise 194 7 Interest rate sensitivity measures Bond price sensitivity to interest rates: meaning 197 Price/yield relationship 200 Various interest rate sensitivity measures 203 Duration or Macaulay duration 203 Modified duration 205 Effective duration 206 M-duration of floating rate bond 207 Price value of a basis point (PVBP or PVOl 208 Portfolio sensitivity measure 208 Limitations of duration/m-duration/PVOl 210 Linearity in the price-yield relations 210 Parallel shift in yield curve 212 Convexity: a supplement to m-duration 212 Example 213 Self-learning exercise 217 197 8 Financial derivative contracts Financial derivatives: meaning types of contracts 220 Exchange traded derivatives 221 Over-the-counter derivatives 221 Forwards 223 Futures 223 Swaps 224 Options 224 220
xii Contents Financial derivatives market: worldwide in India 226 Participants in financial derivatives market 230 Hedgers 2 30 Speculators 231 Arbitrageurs 231 Brokers 231 Exchange 231 Clearing house 232 Application of financial derivatives 232 Market completeness 232 Speculation 232 Risk management 232 Trading efficiency 233 Price discovery 233 Self-learning exercise 234 9 Interest rate futures Interest rate futures contract: meaning product structure 236 How does an interest rate futures contract work? 237 Interest rate futures market in India 238 Important features ofIRF contract 240 Underlying instrument (actual or notional) 240 Deliverable basket 241 Conversion factor 241 Implied repo rate 242 Cheapest-to-deliver issue 244 Interest rate futures contract: product structures in India 245 T-bills futures contract in India 245 Single bond futures contract in India 247 Pricing of interest rate futures 250 Example: pricing ofIRF contract 251 Solution 251 Method of settlement 252 Mark-to-market (MTM) settlement 253 Final settlement 254 Market participants 254 Banks 255 Primary dealers 255 Foreign portfolio investors (FPIs) 255 Mutual funds 255 236
Contents xiii Insurance companies 255 Corporates 256 NBFCs 256 Individuals 256 Advantage/usefulness ofIRF contract 257 Hedging underlying exposure 257 Use of arbitrage opportunity 267 Directional trading 268 Asset-liability/duration management 270 Self-learning exercise 278 10 Forward rate agreement and interest rate swaps FRA 1RS: meaning product structure 282 Definition of FRA 282 Example of FRA 282 Mechanics of FRA 282 Forward rate agreement: a sample deal 283 Definition of 1RS 284 FRA and 1RS market in India 286 Pricing of forward rate agreement 287 Example: pricing of FRA 288 Solution 288 Settlement of an FRA deal 289 Example: FRA settlement 289 Different types of interest rate swaps 290 Important structures of 1RS in India 291 INBMK swap 291 Interest rate swaps (benchmark: INBMK): a sample deal 292 MIBOR overnight index swap 294 Interest rate swap (benchmark: О/N MIBOR): a sample deal 295 MIFOR overnight index swap 297 Theory of comparative advantage in 1RS 298 Pricing and valuation of interest rate swap 301 Pricing of 1RS 301 Marked-to-market (MTM) of INBMK swaps 304 Marked-to-market valuation of MIBOR-OIS 306 Settlement of periodical interest in 1RS contracts 310 Settlement of periodical interest in INBMK swaps 310 Settlement of periodical interest in MIBOR-OIS 312 281
xiv Contents Offsetting/premature unwinding/cancellation of FRA/ 1RS 314 Premature unwinding/termination of INBMK Swaps 316 Premature unwinding/termination of OIS 317 Usefulness of FRA/interest rate swap 317 Hedging 318 Arbitrage 325 Trading/market making 325 Managing liquidity 327 Asset-liability management 327 Risk in FRA/interest rate swap 327 Interest rate risk 328 Credit risk 329 Documentation for FRA/interest rate swap 329 ISDA Master Agreement 330 A schedule 330 A Credit Support Annex (CSA) 330 Transaction(s) confirmation 330 Self-learning exercise 335 11 Interest rate options and structured products Interest rate options: meaning structures 337 Pricing of interest rate options 339 Intrinsic value 339 Time value 340 Factors affecting options1 price 340 Pricing models for interest rate options 342 Arbitrage-free binomial option pricing model 343 Interest rate caps, floors, and collar: meaning structures 347 Self-learning exercise 350 12 Credit default swaps Meaning and definition of credit derivatives 351 Credit default swaps (CDS) 352 History and growth of credit default swaps 353 Reasons for high growth in CDS market 353 Different types of credit default swaps 355 Binary or digital swaps 355 Basket CDS 356 Portfolio CDS 356
Contents XV Index based CDS 356 Cancelable default swap 357 Contingent default swap 357 Leveraged default swap 357 Features of credit default swaps 358 Protection buyer protection seller 358 Reference asset reference entity 358 Asset and maturity mismatches 359 Default swap premium 360 Unwinding CDS position 360 Credit events 360 Compensation settlement 361 Current scope and future challenges for CDS in India 362 Self-learning exercise 364 13 Trading and management strategies Bond portfolio management: meaning 366 Setting investment objectives 367 Development and implementation of portfolio management strategy 371 Portfolio monitoring and necessary adjustments 372 Passive management strategies 372 Bond indexing 373 Cash flow matching 375 Classical immunization 377 Advantages and limitations of passive strategy 379 Active management strategies 380 Important news affecting interest rates and bond yields 381 Yield curve shifts and different types of active management strategies 386 No shift in the yield curve: strategies 387 Parallel shift in the yield curve and desired strategies 389 Unparallel shift in the yield curve 391 Yield curve shifts with twists 392 Yield curve shifts with humpedness 393 Unparallel shift in the yield curve: possible strategies 395 Strengths and weaknesses for active management 397 Strengths 397 Weaknesses 398 Bond portfolio optimization 398 Objective function 399 366
xvi Contents List of constraints 400 Self-learning exercise 401 14 Risk management (focus: market risk) Risk management and Basel accord: an overview 405 Market risk 406 Interest rate risk 407 Liquidity risk 407 Credit risk 408 Non-financial or operational risk 408 Measuring risk in fixed income securities 409 Standardized approach 409 Internal model approach (IMA) 411 Value at risk: a risk measurement tool 411 Variance-covariance (VCV) approach 412 Historical simulation (HS) approach 415 Monte-Carlo simulation (MCS) approach 417 Expected shortfall: a risk measure beyond VaR 418 Example (VaR and ES on bond and equity portfolio) 419 Solution 420 Back testing and stress testing of risk measurement tools 420 Back testing VaR ES estimates 420 Stress testing VaR ES estimates 422 Market risk capital charge on fixed income portfolio of a bank 423 Market risk capital charge under SMM 423 Limitations of standardized method to estimate MRCC 428 Market risk capital charge under IMA 431 Self-learning exercise 434 Glossary Index 405 437 452 |
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| title | Demystifying fixed income analytics a practical guide |
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| title_exact_search | Demystifying fixed income analytics a practical guide |
| title_exact_search_txtP | Demystifying fixed income analytics a practical guide |
| title_full | Demystifying fixed income analytics a practical guide Kedar Nath Mukherjee |
| title_fullStr | Demystifying fixed income analytics a practical guide Kedar Nath Mukherjee |
| title_full_unstemmed | Demystifying fixed income analytics a practical guide Kedar Nath Mukherjee |
| title_short | Demystifying fixed income analytics |
| title_sort | demystifying fixed income analytics a practical guide |
| title_sub | a practical guide |
| topic | Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Festverzinsliches Wertpapier Portfolio Selection |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032240481&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT mukherjeekedarnath demystifyingfixedincomeanalyticsapracticalguide |