Handbook of Fixed-Income Securities E-Book

• Herausgeber: John Wiley & Sons
• Kategorie: Fachliteratur
• Serie: Wiley Handbooks in Financial Engineering and Econometrics
• Sprache: Englisch

Seitenzahl: 1717

Veröffentlichungsjahr: 2016

Beschreibung

A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: * An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them * Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks' influence on interest rates, including the recent quantitative easing experiments * Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints * The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility * Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds * Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing * Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints * Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.

Leseprobe

Table of Contents

Title Page

Copyright

Dedication

Notes on Contributors

Preface

The Handbook

Part I: Fixed Income Markets

Chapter 1: Fixed Income Markets: An Introduction

1.1 Introduction

1.2 U.S. Treasury Bills, Notes, and Bonds

1.3 Interest Rates, Yields, and Discounting

1.4 The Term Structure of Interest Rates

1.5 Pricing Coupon Notes and Bonds

1.6 Inflation-Protected Securities

1.7 Floating Rate Notes

1.8 Conclusion

References

Chapter 2: Money Market Instruments

2.1 Overview of the Money Market

2.2 U.S. Treasury Bills

2.3 Commercial Paper

2.4 Discount Window

2.5 Eurodollars

2.6 Repurchase Agreements

2.7 Interbank Loans

2.8 Conclusion

References

Chapter 3: Inflation-Adjusted Bonds and the Inflation Risk Premium

3.1 Inflation-Indexed Bonds

3.2 Inflation Derivatives

3.3 No-Arbitrage Pricing

3.4 Inflation Risk Premium

3.5 A Look at the Data

3.6 Conclusion

3.7 Appendix

3.8 Data Appendix

References

Chapter 4: Mortgage-Related Securities (MRSs)

4.1 Purpose of the Chapter

4.2 Introduction To MRSs

4.3 Valuation Overview

4.4 Analyzing an MRS

4.5 Summary

References

Part I: Monetary Policy and Fixed Income Markets

Chapter 5: Bond Markets and Monetary Policy

5.1 Introduction

5.2 High-Frequency Identification of Monetary Policy Shocks

5.3 Target Versus Path Shocks

5.4 Conclusions

Acknowledgments

References

Chapter 6: Bond Markets and Unconventional Monetary Policy

6.1 Introduction

6.2 Unconventional Policies: The Fed, ECB, And BOE

6.3 Unconventional Policies: A Theoretical Framework

6.4 Unconventional Policies: The Empirical Evidence

6.5 Conclusions

Acknowledgments

References

Part I: Interest Rate Risk Management

Chapter 7: Interest Rate Risk Management and Asset Liability Management

7.1 Introduction

7.2 Literature Review

7.3 Interest Rate Risk Measures

7.4 Application to Asset Liability Management

7.5 Backtesting ALM Strategies

7.6 Liability Hedging and Portfolio Construction

7.7 Conclusions

7.8 Appendix: The Implementation of Principal Component Analysis

References

Chapter 8: Optimal Asset Allocation in Asset Liability Management

8.1 Introduction

8.2 Yield Smoothing

8.3 ALM Problem

8.4 Method

8.5 Single-Period Portfolio Choice

8.6 Dynamic Portfolio Choice

8.7 Conclusion

8.8 Appendix: Return Model Parameter Estimates

8.9 APPENDIX: BENCHMARK WITHOUT LIABILITIES

Acknowledgments

References

Part IV: The Predictability of Bond Returns

Chapter 9: International Bond Risk Premia

9.1 Introduction

9.2 Literature Review

9.3 Notation and International Bond Market Data

9.4 Unconditional Risk Premia

9.5 Conditional Risk Premia

9.6 Understanding Bond Risk Premia

9.7 Conclusion and Outlook

Acknowledgments

References

Chapter 10: Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

10.1 Introduction

10.2 Brief Literature Review

10.3 Bond Data and Definitions

10.4 Estimating the Liquidity Differential Between Inflation-Indexed and Nominal Bond Yields

10.5 Bond Excess Return Predictability

10.6 Conclusion

Acknowledgments

References

Chapter 11: U.S. Treasury Market: The High-Frequency Evidence

11.1 Introduction

11.2 The U.S. Treasury Markets During the Financial Crisis

11.3 The Reaction of Bond Prices and Interest Rates to Macroeconomic News

11.4 Market-Microstructure Effects

11.5 Bond Risk Premia

11.6 The Impact of High-Frequency Trading

11.7 Conclusions

References

Part V: Advanced Topics on Term Structure Models and Their Estimation

Chapter 12: Structural Affine Models for Yield Curve Modeling

12.1 Purpose and Structure of This Chapter

12.2 Structural Models

12.3 A Simple Taxonomy

12.4 Why do we Need no-Arbitrage Models After All?

12.5 Affine Models and the Drivers of The Yield Curve

12.6 Introducing No-Arbitrage

12.7 Which Variables should one use?

12.8 Risk Premia Implied by Affine Models with Constant Market Price of Risk

12.9 Testable Predictions: Constant Market Price of Risk

12.10 What do we know about Excess Returns?

12.11 Understanding the Empirical Results on term Premia

12.12 Enriching the First-Generation Affine Models

12.13 Latent Variables: the D&Amico, kim, and wei Model

12.14 From Linear Regressors to Affine Models: the acm Approach

12.15 Affine Models using Principal Components as Factors

12.16 The Predictions from the “Modern” Models

12.17 Conclusions

References

Chapter 13: The Econometrics of Fixed-Income Markets

13.1 Introduction

13.2 Different types of term Structure Models

13.3 Parametric Estimation Methods

13.4 Maximum Likelihood Estimation

13.5 Constructing the Likelihood Function: Expansion of the Transition Density

13.6 Concluding Remarks

Acknowledgments

References

Chapter 14: Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound

14.1 Introduction

14.2 Liquidity

14.3 Learning

14.4 Lower Bound

14.5 Conclusion

Acknowledgments

14.6 Appendix: Moments of Truncated Bivariate Distribution

References

Chapter 15: The Economics of the Comovement of Stocks and Bonds

15.1 Introduction

15.2 A Brief Literature Survey

15.3 The Stock–Bond Covariance and Learning about Fundamentals

15.4 Beliefs from Surveys and from the Model

15.5 Survey and Model Beliefs and the Stock–Bond Covariance

15.6 Some International Evidence

15.7 Summary

Acknowledgments

References

Part VI: Derivatives: Markets and Pricing

Chapter 16: Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework

16.1 Introduction

16.2 Background on the New Derivatives Regulatory Framework

16.3 Exchange-Traded Derivatives

16.4 Noncleared Swaps

16.5 Cleared Swaps

16.6 Comparative Market Activity Across Execution Venues

16.7 Liquidity Fragmentation in Nondollar Swaps

16.8 Prospects for the Future

16.9 Appendix: The New Regulatory Framework for Interest Rate Derivatives in the United States and European Union

Acknowledgments

References

Chapter 17: Risk-Neutral Pricing: Trees

17.1 Introduction

17.2 Binomial Trees

17.3 Risk-Neutral Pricing on Multistep Trees

17.4 From Diffusion Models to Binomial Trees

17.5 Trinomial Trees

References

Chapter 18: Discounting and Derivative Pricing Before and After the Financial Crisis: An Introduction

18.1 Introduction

18.2 Forward Rate Agreements (FRAs)

18.3 Overnight Index Swaps (OISs)

18.4 Libor-Based Swaps

18.5 The Crisis and The Double-Curve Pricing of Libor-Based Swaps

18.6 The Pricing Of Libor-Based Interest Rate Options

18.7 Conclusions

References

Part VII: Advanced Topics in Derivatives Pricing

Chapter 19: Risk-Neutral Pricing: Monte Carlo Simulations

19.1 Introduction

19.2 Risk-Neutral Pricing

19.3 Risk-Neutral Pricing: Monte Carlo Simulations

19.4 Valuation by Monte Carlo Simulation

19.5 Monte Carlo Simulations in Multifactor Models

19.6 Conclusion

References

Chapter 20: Interest Rate Derivatives and Volatility

20.1 Introduction

20.2 Markets and the Institutional Context

20.3 Dissecting the instruments

20.4 Evaluation Paradigms

20.5 Pricing and Trading Volatility

20.6 Conclusions

20.7 Appendix

Acknowledgments

References

Chapter 21: Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach

21.1 Introduction

21.2 Collateralized Credit and Funding Valuation Adjustments

21.3 General Pricing Equation Under Credit, Collateral, and Funding

21.4 Numerical Results: Extending the Black–Scholes Analysis

21.5 Extensions

21.6 Conclusions: Bilateral Prices or Nonlinear Values?

References

Part VIII: Corporate and Sovereign Bonds

Chapter 22: Corporate Bonds

22.1 Introduction

22.2 Market and Data

22.3 A Very Simple Model

22.4 Structural Models

22.5 Reduced-form Models

22.6 Risk Premia in Intensity Models

22.7 Dealing with Portfolios

22.8 Illiquidity as a Source Of Spreads

22.9 Some Additional Readings

22.10 Conclusion

References

Chapter 23: Sovereign Credit Risk

23.1 Introduction

23.2 Literature Review

23.3 Modeling Sovereign Default

23.4 Credit Risk Premia

23.5 Estimating Intensity Models

23.6 Application to Emerging Markets

23.7 Application to the European Debt Crisis

23.8 Conclusion

23.9 Appendix: No Arbitrage Pricing

References

Index

End User License Agreement

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