Fixed Income Relative Value Analysis
A Practitioners Guide to the Theory, Tools, and Trades
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Beschreibung
As western governments issue increasing amounts of debt, the fixedincome markets have never been more important. Yet the methods foranalyzing these markets have failed to keep pace with recentdevelopments, including the deterioration in the credit quality ofmany sovereign issuers. In Fixed Income Relative Value Analysis,Doug Huggins and Christian Schaller address this gap with a set ofanalytic tools for assessing value in the markets for governmentbonds, interest rate swaps, and related basis swaps, as well asassociated futures and options.
Taking a practitioner's point of view, the book presentsthe theory behind market analysis in connection with tools forfinding and expressing trade ideas. The extensive use of actualmarket examples illustrates the ways these analytic tools can beapplied in practice.
The book covers:
* Statistical models for quantitative market analysis, inparticular mean reversion models and principal componentanalysis.
* An in-depth approach to understanding swap spreads in theoryand in practice.
* A comprehensive discussion of the various basis swaps and theircombinations.
* The incorporation of credit default swaps in yield curveanalysis.
* A classification of option trades, with appropriate analysistools for each category.
* Fitted curve techniques for identifying relative value amongdifferent bonds.
* A multi-factor delivery option model for bond futurecontracts.
Fixed Income Relative Value Analysis provides aninsightful presentation of the relevant statistical and financialtheories, a detailed set of statistical and financial tools derivedfrom these theories, and a multitude of actual trades resultingfrom the application of these tools to the fixed income markets. Assuch, it's an indispensable guide for relative valueanalysts, relative value traders, and portfolio managers for whomsecurity selection and hedging are part of the investmentprocess.
Autor*in
Doug Huggins
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