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基本説明
Offers an interdisciplinary framework for fixed-income investing and trading.
"Wiley Finance"
Full Description
Market players put their jobs on the line with every position they take. Any fixed income investor in the circumstance of being granted one wish would probably want to know what interest rates are going to do in the future. Economists and others have constructed models of interest rate behaviour, but no model works in all circumstances. The main aim of this book is to straddle the different worlds of theoretical models and practical market experience, while offering an interdisciplinary framework for fixed income investing and trading.* A focussed but very practical approach to fixed--income investment, aimed at practitioner market* Contains investment checklists and interviews with market practitioners* Offers an interdisciplinary framework for fixed--income investing and trading, and combines worlds of theoretical models and practical market experience
Table of Contents
Acknowledgments xi
Biography xiii
Introduction xv
PART I BASIC TOOLS FOR ESTABLISHING A FIXED 1 (62)
INCOME STRATEGY
1 Fixed income basics 3 (16)
1.1 Pricing a bond 3 (2)
1.2 Market risk: The price-yield 5 (4)
relationship
1.3 Yield curve risk: The yield-maturity 9 (4)
relationship
1.4 Beyond theoretical value: Other sources 13 (2)
of risk
1.5 Sources of return 15 (1)
1.6 Summary 16 (1)
Notes 16 (1)
Recommended reading 17 (2)
2 Fixed Income Securities: Beyond the Basics 19 (20)
2.1 Spread risk: Evaluating bonds of 19 (2)
different quality
2.2 Volatility risk: Evaluating bonds with 21 (6)
embedded options
2.3 Interest rate derivatives 27 (9)
2.3.1 Futures 27 (2)
2.3.2 Options 29 (3)
2.3.3 Swaps 32 (4)
Notes 36 (1)
Recommended reading 37 (2)
3 Economic Fundamentals 39 (24)
3.1 The building blocks of economic analysis 39 (5)
3.2 Interest rate theories: Forecasting 44 (6)
market direction
3.3 Yield curve models: Forecasting 50 (4)
movements in the yield curve
3.4 Spread theories: Anticipating changes 54 (3)
in the risk premium
3.5 Volatility models: Anticipating changes 57 (1)
in volatility
3.6 The efficient markets hypothesis 58 (1)
3.7 Chaos theory 59 (1)
3.8 Economic fundamentals: Uses and misuses 60 (1)
Notes 61 (2)
PART II ENHANCED TOOLS FOR ESTABLISHING A VIEW 63 (76)
ON INTEREST RATES
4 Government policy: The interface between 65 (12)
economics and politics
4.1 The political economy perspective 65 (4)
4.1.1 Political business cycles 65 (2)
4.1.2 Budget deficits and monetary policy 67 (1)
4.1.3 Central bank independence 68 (1)
4.1.4 Policy objectives 68 (1)
4.1.5 The monetary policy mechanism 69 (1)
4.2 Anticipating changes in monetary policy 69 (8)
4.2.1 Fed watching 69 (2)
4.2.2 ECB watching 71 (2)
4.3 Implications for fixed income 73 (1)
investors
Notes 74 (3)
Recommended reading 7S
5 Human Factors 77 (22)
5.1 Group behavior: A demographic approach 77 (6)
5.2 The inherently human nature of markets: 83 (13)
A psychological approach
5.2.1 Information processing 84 (4)
5.2.2 Attitude and mood: The effect on 88 (3)
risk tolerance and judgment
5.2.3 Social psychology: The herding 91 (3)
phenomenon
5.2.4 Implications for fixed income 94 (2)
investors
5.2.5 Limitations of the psychological 96 (1)
approach
Notes 96 (1)
Recommended reading 97 (1)
Appendix: Summary of psychological phenomena 98 (1)
6 Technical Analysis: Applied Social 99 (16)
Psychology
6.l Fundamentalists versus technicians 99 (1)
6.2 The basic tools of technical analysis 100 (9)
6.3 The contrarian approach 109 (2)
6.4 The "smart money" approach 111 (1)
6.5 Implications for fixed income investors 112 (1)
6.6 The limitations of technical analysis 113 (1)
Notes 113 (1)
Recommended reading 114 (1)
7 Other Techniques for Short-Term Analysis 115 (12)
7.1 Flow analysis 115 (3)
7.2 Supply and demand analysis 118 (2)
7.3 Seasonal analysis 120 (1)
7.4 Quantitative analysis 121 (4)
7.5 The limitations of statistical methods 125 (1)
Notes 126 (1)
8 An Integrated Approach to Bond Strategy 127 (12)
8.1 An interdisciplinary model 127 (3)
8.2 The appropriate use of tools 130 (2)
8.3 Resolving mixed signals 132 (1)
8.4 Evaluating downside risk 133 (1)
8.5 System checks 133 (2)
8.6 A template for constructing a view on 135 (2)
which to trade
8.7 Limitations of the interdisciplinary 137 (1)
approach
Notes 137 (1)
Recommended reading 138 (1)
PART III IMPLEMENTING YOUR VIEW 139
9 Fixed Income Instruments, Investors and 141 (22)
Portfolio Management Styles
9.1 The fixed income universe 141 (8)
9.1.1 Government securities 142 (2)
9.1.2 Corporate securities 144 (1)
9.1.3 Structured securities 145 (1)
9.1.4 Fixed income derivatives 146 (1)
9.1.5 Structured products 147 (1)
9.1.6 Country and currency considerations 148 (1)
9.2 Investor types 149 (4)
9.3 Portfolio management 153 (7)
9.3.1 Passive portfolio management 154 (1)
9.3.2 Structured portfolio management 155 (1)
(asset-liability management or ALM)
9.3.3 Active portfolio management 156 (4)
Notes 160 (1)
Recommended reading 161 (2)
10 Fixed Income Trading 163 (14)
10.1 Market directional bets 163 (2)
10.2 Yield curve bets: Steepeners and 165 (2)
flatteners
10.3 Yield curve bets: Rising and falling 167 (2)
curvature
10.4 Spread bets 169 (2)
10.5 Volatility bets 171 (1)
10.6 Summary 172 (2)
Notes 174 (1)
Appendix: Bullets, barbells, and butterflies 175 (2)
11 Odds and Ends 177 (8)
11.1 Asset allocation 177 (2)
11.2 Individual bond selection 179 (1)
11.3 Leverage 180 (1)
11.4 Risk management 180 (2)
11.5 Strategy management 182 (1)
Notes 183 (1)
Recommended reading 183 (2)
12 Survival Principles for the Financial 185 (4)
Battlefield
12.1 Six pearls of wisdom 185 (2)
12.2 Concluding remarks 187 (2)
Bibliography 189 (6)
Index 195
