Advanced Fixed Income Analysis

Informationen zum Autor Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at KBC Financial Products, ABN Amro Hoare Govett Limited and Hambros Bank Limited. He has a PhD from Birkbeck, University of London and an MBA from Henley Business School. Moorad lives in Surrey, England. Michele Lizzio is a Senior Analyst at Deloitte Financial Advisory, Valuation Services in Milan (Italy). He has experience in equity valuation and is involved in the development and implementation of fixed income and derivate based models in Deloitte. He graduated cum laude in MSc Corporate Finance from University of Brescia. He began his career collaborating with Alberto Falini, Professor of Corporate Finance at University of Brescia. Each new chapter of Advanced Fixed Income Analysis, Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to investment decisions but is not freely available to those not originating the products. Professor Choudhry places ideas into contexts in order to keep them from becoming too theoretical. While his book's level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and Professor Choudhry de-emphasizes derivations and proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. ...

Autorentext

Moorad Choudhry is Head of Business Treasury in Global Banking and Markets (GBM) Treasury at the Royal Bank of Scotland. He is thus responsible for providing RBS with the expertise and capabilities required to manage its balance sheet, funding, and liquidity. He is also Visiting Professor at the Department of Economics, London Metropolitan University, and a Senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School. Michele Lizzio is analyst at Deloitte Financial Advisory, Valuation Services in Milan (Italy). He has experience in equity valuation and is involved in the development and implementation of fixed income and derivate based models in Deloitte.

Klappentext

Each new chapter of Advanced Fixed Income Analysis, Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to investment decisions but is not freely available to those not originating the products. Professor Choudhry places ideas into contexts in order to keep them from becoming too theoretical. While his book's level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and Professor Choudhry de-emphasizes derivations and proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners.

Zusammenfassung

"It is always welcome news when hearing of a new publication or edition from Professor Choudhry. The 2nd edition of Advanced Fixed Income Analysis maintains his always high standards, written in trademark accessible style that brings clarity to some of the more exotic analytical issues in fixed income markets. Highly recommended." --Mohamoud Dualeh, Head of Product Development, Alizz Islamic Bank, Muscat

"A most worthwhile and long-awaited update, very informative and makes simple what is undoubtedly some arcane bond market technical features." --Zhuoshi Liu, Economist, CIC International, Hong Kong

"A genuinely valuable handbook for the fixed income practitioner." --Maira Chatziperou, Treasury Transaction Manager, Royal Bank of Scotland, London

"An invaluable reading for practitioners and advanced students in fixed income analysis. This book is well thought-out and provides a clear, concise and hands-on view of the complexities pervading fixed income instruments and derivatives. Topics are presented in a "user friendly" way, which helps getting a quick understanding of the matters. Highly recommended!" --Giovanni Gaspardo, Partner, Deloitte Financial Advisory, Milan

"An excellent book that is improved, updated and simplified is always welcome in the libraries of the best professionals and advanced students. The second edition of Advanced Fixed Income Analysis is one of those books." --Alberto Falini, Professor of Corporate Finance, University of Brescia, Milan

"Advanced Fixed Income Analysis clearly explains the critical concepts and advanced approaches in fixed income analysis. The topical coverage and rigor are well suited for experienced practitioners looking to refresh knowledge and stay up to date or university students who want to learn more about fixed income applications. This is a very useful book!" --Gianluca Beltracchi, Associate Analyst, Moody`s Investors Service, London

Inhalt

1. Asset-Swap Spreads and Relative Value Analysis
2. The Dynamics of Asset Prices
3. Interest-Rate Models
4. Interest-Rate Models I
5. Fitting the Tem Structure
6. Advanced Analytics for Index-Linked Bonds
7. Analysing the Long-Bond Yield
8. The Default Risk of Corporate Bonds
9. Convertible Securities: Analysis and Valuation
10. Floating-Rate Notes
11. Bonds with Embedded Options