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Fixed Income Relative Value Analysis
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Description
Description| Publisher | John Wiley & Sons (UK) |
| Author(s) | Doug Huggins / Christian Schaller |
| Subtitle | A Practitioners Guide to the Theory, Tools, and Trades |
| Edition | 1 |
| Published | 23rd May 2013 |
| Related course codes |
A Practitioners Guide to the Theory, Tools, and Trades
As western governments issue increasing amounts of debt, the fixedincome markets have never been more important. Yet the methods for
analyzing these markets have failed to keep pace with recent
developments, including the deterioration in the credit quality of
many sovereign issuers. In Fixed Income Relative Value Analysis,
Doug Huggins and Christian Schaller address this gap with a set of
analytic tools for assessing value in the markets for government
bonds, interest rate swaps, and related basis swaps, as well as
associated futures and options.
Taking a practitioner?s point of view, the book presents
the theory behind market analysis in connection with tools for
finding and expressing trade ideas. The extensive use of actual
market examples illustrates the ways these analytic tools can be
applied in practice.
The book covers:
- Statistical models for quantitative market analysis, in
particular mean reversion models and principal component
analysis. - An in-depth approach to understanding swap spreads in theory
and in practice. - A comprehensive discussion of the various basis swaps and their
combinations. - The incorporation of credit default swaps in yield curve
analysis. - A classification of option trades, with appropriate analysis
tools for each category. - Fitted curve techniques for identifying relative value among
different bonds. - A multi-factor delivery option model for bond future
contracts.
Fixed Income Relative Value Analysis provides an
insightful presentation of the relevant statistical and financial
theories, a detailed set of statistical and financial tools derived
from these theories, and a multitude of actual trades resulting
from the application of these tools to the fixed income markets. As
such, it?s an indispensable guide for relative value
analysts, relative value traders, and portfolio managers for whom
security selection and hedging are part of the investment
process.
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