Author: Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
International Convergence of Capital Measurement and Capital Standards
Author: Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
Trading and Pricing Financial Derivatives
Author: Patrick BoylePublisher: Walter de Gruyter GmbH & Co KG
ISBN: 1547401214
Category : Business & Economics
Languages : en
Pages : 273
Book Description
Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
Interest Rate Swaps and Economic Exposure
Author: Gautam GoswamiManaging Global Financial and Foreign Exchange Rate Risk
Author: Ghassem A. HomaifarPublisher: John Wiley & Sons
ISBN: 0471281158
Category : Business & Economics
Languages : en
Pages : 400
Book Description
A comprehensive guide to managing global financial risk From the balance of payment exposure to foreign exchange and interest rate risk, to credit derivatives and other exotic options, futures, and swaps for mitigating and transferring risk, this book provides a simple yet comprehensive analysis of complex derivatives pricing and their application in risk management. The risk posed by foreign exchange transactions stems from the volatility of the exchange rate, the volatility of the interest rates, and factors unique to individual companies which are interrelated. To protect and hedge against adverse currency and interest rate changes, multinational corporations need to take concrete steps for mitigating these risks. Managing Global Financial and Foreign Exchange Rate Risk offers a thorough treatment of price, foreign currency, and interest rate risk management practices of multinational corporations in a dynamic global economy. It lays out the pros and cons of various hedging instruments, as well as the economic cost benefit analysis of alternative hedging vehicles. Written in a detailed yet user–friendly manner, this resource provides treasurers and other financial managers with the tools they need to manage their various exposures to credit, price, and foreign exchange risk. Managing Global Financial and Foreign Exchange Rate Risk covers various swaps in this geometrically growing field with notional principal in excess of $120 trillion. From caplet and corridors to call and put swaptions this book covers the micro structure of the swaps, options, futures, and foreign exchange markets. From credit default swap and transfer and convertibility options to asset swap switch and weather derivatives this book illustrates their simple pricing and application. To show real-world examples, each chapter includes a case study highlighting a specific problem, as well as a set of steps to solve it. Numerous charts accompanied with actual Wall Street figures provide the reader with the opportunity to comprehend and appreciate the role and function of derivatives, which are often misunderstood in the financial market. This detailed resource will guide the individual, government and multinational corporations safely through the maze of various exposures. A must-read for treasures, controllers, money mangers, portfolio managers, security analyst and academics, Managing Global Financial and Foreign Exchange Rate Risk represents an important collection of up-to-date risk management solutions. Ghassem A. Homaifar is a professor of financial economics at Middle Tennessee State University. He has Master of Science in Industrial Management from State University of New York at Stony Brook and PhD in Finance from University of Alabama in 1982. He is the author of numerous articles that have appeared in the Journal of Risk and Insurance, Journal of Business Finance and Accounting, Weltwirtschsftliches Archiv Review of World Economics, Advances in Futures and Options Research,Applied Financial Economics, Applied Economics, International Economics, and Global Finance Journal.
Interest Rate Swaps
Author: Nasser SaberPublisher: Irwin Professional Publishing
ISBN: 9781556236556
Category : Business & Economics
Languages : en
Pages : 305
Book Description
"In little more than a decade, the interest rate swap market has grown from zero to a phenomenal size of nearly $4 trillion. Corporate users in virtually all segments of the economy now find swaps the instrument of choice for a variety of trading, hedging, and funding activities." "Yet the very ease with which they can be adapted in different capacities lends an air of mystery to swaps. Many who have used an interest rate swap to meet a particular goal find that the same instrument was used at another time to meet a very different market need. Thus swaps, despite their convenience and popularity, are still commonly referred to as "complex" or "arcane." Interest Rate Swaps: Valuation, Trading, and Processing dispels the mystery surrounding these versatile tools, showing how they evolved naturally within the international financial marketplace and pointing out the similarities between swaps and more conventional treasury products. Interest Rate Swaps shows that valuation, pricing, and portfolio management of swaps likewise follow the most basic principles of finance." "This coherent overview also focuses on new issues specifically related to swaps, such as accounting and taxation, credit risk and capital adequacy requirement, and systems and back office processing. Presenting each chapter from the point of view of hands-on practitioners in the swap market, Interest Rate Swaps offers a macro to micro format, with each chapter beginning with general background and then gradually moving to operational details; a description of different interest rate swaps and their applications; numerous examples of valuation, accounting, and credit exposure calculation - with a description of the numerical methods used in these areas; a checklist for running a successful swap back office; and reconciliation and control methods between front and back office systems." "Interest Rate Swaps is the first-ever coherent overview of swaps that offers users a full perspective on different aspects of these versatile instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
FX Swaps
Author: Ms.Li L. OngPublisher: International Monetary Fund
ISBN: 145196353X
Category : Business & Economics
Languages : en
Pages : 47
Book Description
The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008, giving rise to concerns over the ability of banks to roll over their funding requirements and manage their liquidity risk. The turmoil also raised questions about banks' ability to continue their supply of credit to the local economy, as well as the external financing gap it could create. In this paper, we examine the channels through which FX swap transactions could affect a country's financial and economic stability, and highlight the strategies central banks can employ to mitigate market pressures. While not offering any judgment on the instrument itself, we show that the use of FX swaps for funding and hedging purposes is not infallible, especially during periods of market stress.
What Determines U.S. Swap Spreads?
Author: Ádám KóborPublisher: World Bank Publications
ISBN:
Category : Business & Economics
Languages : en
Pages : 64
Book Description
References p. 45-47.
Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework
Author: Romain LafarguettePublisher: International Monetary Fund
ISBN: 1513569406
Category : Business & Economics
Languages : en
Pages : 33
Book Description
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Fixed Income Securities
Author: Bruce TuckmanPublisher: John Wiley & Sons
ISBN: 111813396X
Category : Business & Economics
Languages : en
Pages : 640
Book Description
Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.
Understanding Interest Rate Swaps
Author: Mary S. SchaefferPublisher: McGraw Hill Professional
ISBN: 9780070390201
Category : Business & Economics
Languages : en
Pages : 334
Book Description
Shows what goes on in the daily operations of large Swap dealers and on the corporate user side as well. Highlights the potential trouble spots government regulators are zeroing in on. Shows how to master all the methodologies used in the international Swap market.