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Full Description
The Brazilian financial markets operate in a very different way to their G7 counterparts. Key differences include onshore and offshore markets, exponential rates, business days day-counts and price formation from the futures markets (instead of the cash markets). Quants, traders, structurers and risk professionals active in this market need to understand these different dynamics in order to be able to effectively map these peculiarities into standard financial engineering techniques and work effectively. Brazilian Derivatives and Securities is a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. The book explores the dynamics of the local markets in detail, including cash instruments when necessary and provides valuable guidance on managing unique situations, from knowing what to do when the time series misbehaves, to how to distinguish volatility from structural changes.
Finally, the book introduces the region's unique financial instruments, as well as their pricing and risk management needs. Techniques for interpolation and consistency among different curves are described in detail, and heuristics for potential exposure calculations are developed. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
Contents
1. Financial archaeology.- 2. We mean business.- 3. Interesting BRL Interest Rates.- 4. BRL Interest Rate Market and Credit Risk.- 5. A man with two clocks ... Foreign Exchange in Brazil.- 6. And the even more interesting USD onshore interest rates.- 7. Too many options?.- 8. The Mountain goes to ... Foreign Exchange Contracts offshore.- 9. Start from where ? Constructing markets for FX Forwards, Futures, Onshore USD Interest Rates and Offshore instruments.- 10. Offshore IR Products based on CDI fixings.- 11. The Dual case - US Libor onshore swaps.- 12. FX trading (Interest Rate and Fixing) Market and Credit Risk.- 13. A skewed perspective of the world: FX Options.- 14. Some cash is better than nothing - what you need to know about cash products.- 15. Index of choice ... Inflation-Linked Products and Curves.- 16. Microstructure of the listed derivatives.- 17. Unlucky end: On the obsolescence of products and books
