Download Full eBooks in PDF
The Valuation Of Us Dollar Interest Rate Swaps Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of The Valuation Of Us Dollar Interest Rate Swaps book. This book definitely worth reading, it is an incredibly well-written.
Author : Julian Alworth
Publisher : Unknown
Page : 50 pages
File Size : 47,5 Mb
Release : 1993
Category : Dollar, American
ISBN : UCSD:31822015547672
Author : Julian Alworth
Publisher : Unknown
Page : 52 pages
File Size : 49,8 Mb
Release : 1993
Category : Dollar, American
ISBN : STANFORD:36105008651171
Author : Carl R. Beidleman
Publisher : Irwin Professional Publishing
Page : 550 pages
File Size : 54,5 Mb
Release : 1991
Category : Foreign exchange futures
ISBN : UOM:49015001341156
This broad overview of swaps brings you the experience of prominent international authorities who explain how to effectively manage interest rate risk.
Author : Ravi E. Dattatreya,Kensuke Hotta
Publisher : McGraw-Hill Companies
Page : 504 pages
File Size : 44,5 Mb
Release : 1994
Category : Business & Economics
ISBN : PSU:000025538298
This book analyzes and integrates the latest developments in this rapidly changing fields. Chapters by financial officers at major corporations such as Rolls Royce, PepsiCo, United Technology and Siemens Electronics further enhance the value of this truly unique book. Topics include: New products, such as indexed and cross-rate swaps; Managing swap credit risk; Liability hedging using swaps; Risk management at major corporations; Financial risk management for developing countries.
Author : Patrick Haug
Publisher : GRIN Verlag
Page : 17 pages
File Size : 48,8 Mb
Release : 2018-03-06
Category : Business & Economics
ISBN : 9783668653689
Seminar paper from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Applied Sciences Essen, language: English, abstract: Every action involves risks. This applies to companies operating in the market and also in particular to credit institutions whose raison d'être lies in the assumption of risks. Risk in the literal sense is grounded in a lack of awareness of the possibility of negative deviation from planned corporate goals. To generate income and to be able to survive a company has to take risks. Such risks are different in nature and are therefore to be evaluated differently. Banks generate the majority of their income from interest-bearing business. Companies finance their borrowing requirements next to equity mainly through loans. With regards to borrowing costs it is to be noted that corporate risk also shows a dependency between total capital and interest on debt. This is known as the leverage effect which in a negative scenario may be so large that the resulting losses can no longer be compensated. The change in economic conditions, fluctuations of interest rates (IR) and exchange rates on the capital markets especially due to inflation at the beginning of the 70s and 80s were the trigger for the development of new financial instruments (see Appendix, Figures 7, 8 and 9). The financial industry constantly creates new financial products that make it possible to lower the volatility of interest rates and currencies and the associated potential for currency and interest rate risks to a minimum. One of these capital market tools to minimize risks in the changes shown linked to interest rate are the so called interest rate swaps. The aim of this work is to explain how interest rate risks can be minimized with interest rate swaps. It will focus on the over the counter (OTC) interest rate swaps market. In the first chapters this termpaper examine the historical development, basic model, trading platforms and different meaning for lenders and borrowers of interest rate swaps. Next, it will explain the valuation and calculation of interest rate swaps as well as the specific value drivers and approaches. In summary, it provides an overview of the different types of interest rate swaps while also taking a critical look at these derivatives.
Author : Brian Coyle
Publisher : Global Professional Publishi
Page : 144 pages
File Size : 53,9 Mb
Release : 2000
Category : Business & Economics
ISBN : 0852974361
� Fully updated version of text formerly used for training by BPP � Diagrammatic representation of deal structures, pricing, and modeling � Full glossary of terms � International perspective, examples in US$ � Clear logical explanation of processes, markets, and products Here is an excellent introduction to equity, commodity, and credit swaps. The text describes the evolution of this financial instrument and the present day importance it has in debt and interest rate risk management. It examines the features of currency swaps and the process by which the counterparties reach agreement. Through practical examples it illustrates the role of banks and explains swaps pricing and the value of a swap. This expansive new range of risk management texts has undergone extensive re-writing to give each book in the series an international perspective. Each explains and analyses core aspects of risk assessment and management in a way invaluable to students and useful to practitioners. All of these titles adopt a practical and clear approach to their subject. All are fully updated versions of a series of books previously produced by training experts at BPP.
Author : Ravi E. Dattatreya,Raj E. S. Venkatesh,Vijaya E. Venkatesh
Publisher : Irwin Professional Publishing
Page : 264 pages
File Size : 55,7 Mb
Release : 1994
Category : Business & Economics
ISBN : STANFORD:36105060559130
"The swap market has revolutionized the world of finance. No other instrument provides such flexibility in managing the risk of assets and liabilities. Indeed, swaps simply have no equal as financing and risk-management tools." "The growth of the swap market has been phenomenal. After coming into being less than 20 years ago, the notional value of the swap market has expanded to around $3 trillion. Among financial professionals, the influence of the swap market is second only to the Treasury yield curve in importance." "Interest Rate and Currency Swaps explains how swaps work and how they can be applied to a variety of situations. In clear, straightforward language this book describes the structure of swaps from simple to complex, risk and price analysis of swap transactions and hedging principles." "Many corporations use interest rate swaps to borrow at lower costs than they could through more traditional financing means. Similarly, with the globalization of business, currency swaps are frequently used to hedge foreign exchange risk. Indeed, for most large companies and financial institutions, swap transactions have become routine." "As the swap market has grown, so has the complexity of swap instruments. Authors Ravi Dattatreya, Raj Venkatesh and Vijaya Venkatesh describe in detail a variety of swap structures including: off-market swaps, zero coupon swaps, swaps-in-arrears, basis swaps and forward swaps." "In addition, the authors devote considerable attention to asset/liability management through swaps. They describe basic hedging techniques, as well as unveiling a new method for managing yield curve risk. For any financial institution or corporation grappling with interest rate risk, this section alone is well worth the book's price." "Other topics addressed include measuring interest rate risk, multi-currency hedging, arbitrage and speculation, scenario analysis, and Monte Carlo simulation." "Without question, swaps are the single most important finance development in recent years. Interest Rate and Currency Swaps is the definitive source to understand and apply these powerful instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author : Keith Brown,Donald Smith
Publisher : Wiley
Page : 138 pages
File Size : 40,9 Mb
Release : 2000-04-14
Category : Business & Economics
ISBN : 0943205328
Interest Rate and Currency Swaps: A Tutorial is a thorough discussion of two useful and widely used forms of derivatives-interest rate and currency swaps. The authors provide step-by-step instructions and real-life examples of how to use the swaps. Exercises (and solutions) after each chapter permit readers to learn by doing, and the book contains a comprehensive bibliography.
Author : Nasser Saber
Publisher : Irwin Professional Publishing
Page : 305 pages
File Size : 46,6 Mb
Release : 1994
Category : Business & Economics
ISBN : 1556236557
"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
Author : Amir Sadr
Publisher : John Wiley & Sons
Page : 276 pages
File Size : 47,9 Mb
Release : 2009-09-09
Category : Business & Economics
ISBN : 9780470443941
An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.
Author : Donald J. Smith
Publisher : Unknown
Page : 128 pages
File Size : 51,8 Mb
Release : 2019
Category : Electronic
ISBN : OCLC:1304322004
The financial crisis of 2007-09 precipitated a significant change in the practice of interest rate swap valuation. Going from traditional LIBOR to OIS (overnight indexed swap) discounting might not seem to be a profound event but it is more than just another method to calculate fair values for over-the-counter derivative contracts. It embodies newfound appreciation of counterparty credit risk and the role of collateral and central clearing. Implementation of OIS discounting has created a cottage industry for risk management consultants and trainers to deal with the technicalities of the new approach. From my academic perspective, it is clear that many of our finance textbooks that cover interest rate swaps need to be revised.The first section of this note reviews interest rate swap valuation in principle, the reasons for the move from LIBOR to OIS discounting, the implications for swap rates, and the 'winners and losers' that arise from the transition. The second section works through a numerical example to illustrate the calculations. This entails bootstrapping a sequence of discount factors that are consistent with interest rate swaps that have a market value of zero. The implied LIBOR forward curve is derived (or, in general, the forward curve for the money market reference rate). This curve becomes particularly important under OIS discounting when valuing a swap as a combination of fixed-rate and floating-rate bonds.Fortunately for risk managers, OIS discounting uses the same types of analytic techniques as the traditional approach. However, there are some differences that are beyond the scope of this note, for instance, calculating the sensitivities of swap values to changes in OIS rates and the LIBOR-OIS spread (i.e., working with dual curves rather than a single curve for risk measurement) and dealing with cross-currency swaps. Also, LIBOR is an interest rate that reasonably can be assumed to vary day by day in the interbank market whereas OIS rates are more directly a tool of monetary policy, suggesting that rate volatility depends on the pattern and timing of policy meetings and actions.
Author : Bruce Tuckman,Angel Serrat
Publisher : John Wiley & Sons
Page : 640 pages
File Size : 53,9 Mb
Release : 2011-10-13
Category : Business & Economics
ISBN : 9781118133965
Fixed income practitioners need to understand the conceptualframeworks of their field; to master its quantitative tool-kit; andto be well-versed in its cash-flow and pricing conventions.Fixed Income Securities, Third Edition by Bruce Tuckman andAngel Serrat is designed to balance these three objectives. Thebook presents theory without unnecessary abstraction; quantitativetechniques with a minimum of mathematics; and conventions at auseful level of detail. The book begins with an overview of global fixed income marketsand continues with the fundamentals, namely, arbitrage pricing,interest rates, risk metrics, and term structure models to pricecontingent claims. Subsequent chapters cover individual markets andsecurities: repo, rate and bond forwards and futures, interest rateand basis swaps, credit markets, fixed income options, andmortgage-backed-securities. Fixed Income Securities, Third Edition is full ofexamples, applications, and case studies. Practically everyquantitative concept is illustrated through real market data. Thispractice-oriented approach makes the book particularly useful forthe working professional. This third edition is a considerable revision and expansion ofthe second. Most examples have been updated. The chapters on fixedincome options and mortgage-backed securities have beenconsiderably expanded to include a broader range of securities andvaluation methodologies. Also, three new chapters have been added:the global overview of fixed income markets; a chapter on corporatebonds and credit default swaps; and a chapter on discounting withbases, which is the foundation for the relatively recent practiceof discounting swap cash flows with curves based on money marketrates. [FOR THE UNIVERSITY EDITION] This university edition includes problems which students can useto test and enhance their understanding of the text.
Author : Donald J. Smith
Publisher : John Wiley & Sons
Page : 288 pages
File Size : 48,8 Mb
Release : 2011-07-05
Category : Business & Economics
ISBN : 9781118103166
A guide to the theory behind bond math formulas Bond Math explores the ideas and assumptions behind commonly used statistics on risk and return for individual bonds and on fixed income portfolios. But this book is much more than a series of formulas and calculations; the emphasis is on how to think about and use bond math. Author Donald J. Smith, a professor at Boston University and an experienced executive trainer, covers in detail money market rates, periodicity conversions, bond yields to maturity and horizon yields, the implied probability of default, after-tax rates of return, implied forward and spot rates, and duration and convexity. These calculations are used on traditional fixed-rate and zero-coupon bonds, as well as floating-rate notes, inflation-indexed securities, and interest rate swaps. Puts bond math in perspective through discussions of bond portfolios and investment strategies. Critiques the Bloomberg Yield Analysis (YA) page, indicating which numbers provide reliable information for making decisions about bonds, which are meaningless data, and which can be very misleading to investors Filled with thought-provoking insights and practical advice, this book puts the intricacies of bond math into a clear and logical order.
Author : Ms.Li L. Ong,Ms.Bergljot Barkbu
Publisher : International Monetary Fund
Page : 47 pages
File Size : 40,7 Mb
Release : 2010-03-01
Category : Business & Economics
ISBN : 9781451963533
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.
Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 44,7 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694