Handbook of fixed-income securities / edited by Pietro Veronesi.

Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasiz...

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Bibliographic Details
Other Authors:	Veronesi, Pietro
Format:	eBook
Language:	English
Published:	Hoboken, New Jersey : John Wiley & Sons, Inc., [2016]
Series:	Wiley Handbooks in Financial Engineering and Econometrics
Subjects:	Fixed-income securities. BUSINESS & ECONOMICS > Finance. Fixed-income securities
Online Access:	Click for online access

Table of Contents:

Title Page
Copyright
Table of Contents
Dedication
Notes on Contributors
Preface
The Handbook
Part I: Fixed Income Markets
1 Fixed Income Markets: An Introduction
1.1 Introduction
1.2 U.S. Treasury Bills, Notes, and Bonds
1.3 Interest Rates, Yields, and Discounting
1.4 The Term Structure of Interest Rates
1.5 Pricing Coupon Notes and Bonds
1.6 Inflation-Protected Securities
1.7 Floating Rate Notes
1.8 Conclusion
References
2 Money Market Instruments
2.1 Overview of the Money Market
2.2 U.S. Treasury Bills
2.3 Commercial Paper
2.4 Discount Window
2.5 Eurodollars
2.6 Repurchase Agreements
2.7 Interbank Loans
2.8 Conclusion
References
3 Inflation-Adjusted Bonds and the Inflation Risk Premium
3.1 Inflation-Indexed Bonds
3.2 Inflation Derivatives
3.3 No-Arbitrage Pricing
3.4 Inflation Risk Premium
3.5 A Look at the Data
3.6 Conclusion
3.7 Appendix
3.8 Data Appendix
References
4 Mortgage-Related Securities (MRSs)
4.1 Purpose of the Chapter
4.2 Introduction To MRSs
4.3 Valuation Overview
4.4 Analyzing an MRS
4.5 Summary
References
Part II: Monetary Policy and Fixed Income Markets
5 Bond Markets and Monetary Policy
5.1 Introduction
5.2 High-Frequency Identification of Monetary Policy Shocks
5.3 Target Versus Path Shocks
5.4 Conclusions
Acknowledgments
References
6 Bond Markets and Unconventional Monetary Policy
6.1 Introduction
6.2 Unconventional Policies: The Fed, ECB, And BOE
6.3 Unconventional Policies: A Theoretical Framework
6.4 Unconventional Policies: The Empirical Evidence
6.5 Conclusions
Acknowledgments
References
Part III: Interest Rate Risk Management
7 Interest Rate Risk Management and Asset Liability Management
7.1 Introduction
7.2 Literature Review.
7.3 Interest Rate Risk Measures
7.4 Application to Asset Liability Management
7.5 Backtesting ALM Strategies
7.6 Liability Hedging and Portfolio Construction
7.7 Conclusions
7.8 Appendix: The Implementation of Principal Component Analysis
References
8 Optimal Asset Allocation in Asset Liability Management
8.1 Introduction
8.2 Yield Smoothing
8.3 ALM Problem
8.4 Method
8.5 Single-Period Portfolio Choice
8.6 Dynamic Portfolio Choice
8.7 Conclusion
8.8 Appendix: Return Model Parameter Estimates
8.9 APPENDIX: BENCHMARK WITHOUT LIABILITIES
Acknowledgments
References
Part IV: The Predictability of Bond Returns
9 International Bond Risk Premia
9.1 Introduction
9.2 Literature Review
9.3 Notation and International Bond Market Data
9.4 Unconditional Risk Premia
9.5 Conditional Risk Premia
9.6 Understanding Bond Risk Premia
9.7 Conclusion and Outlook
Acknowledgments
References
10 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
10.1 Introduction
10.2 Brief Literature Review
10.3 Bond Data and Definitions
10.4 Estimating the Liquidity Differential Between Inflation-Indexed and Nominal Bond Yields
10.5 Bond Excess Return Predictability
10.6 Conclusion
Acknowledgments
References
11 U.S. Treasury Market: The High-Frequency Evidence
11.1 Introduction
11.2 The U.S. Treasury Markets During the Financial Crisis
11.3 The Reaction of Bond Prices and Interest Rates to Macroeconomic News
11.4 Market-Microstructure Effects
11.5 Bond Risk Premia
11.6 The Impact of High-Frequency Trading
11.7 Conclusions
References
Part V: Advanced Topics on Term Structure Models and Their Estimation
12 Structural Affine Models for Yield Curve Modeling
12.1 Purpose and Structure of This Chapter.
12.2 Structural Models
12.3 A Simple Taxonomy
12.4 Why do we Need no-Arbitrage Models After All?
12.5 Affine Models and the Drivers of The Yield Curve
12.6 Introducing No-Arbitrage
12.7 Which Variables should one use?
12.8 Risk Premia Implied by Affine Models with Constant Market Price of Risk
12.9 Testable Predictions: Constant Market Price of Risk
12.10 What do we know about Excess Returns?
12.11 Understanding the Empirical Results on term Premia
12.12 Enriching the First-Generation Affine Models
12.13 Latent Variables: the D'Amico, kim, and wei Model
12.14 From Linear Regressors to Affine Models: the acm Approach
12.15 Affine Models using Principal Components as Factors
12.16 The Predictions from the "Modern" Models
12.17 Conclusions
References
13 The Econometrics of Fixed-Income Markets
13.1 Introduction
13.2 Different types of term Structure Models
13.3 Parametric Estimation Methods
13.4 Maximum Likelihood Estimation
13.5 Constructing the Likelihood Function: Expansion of the Transition Density
13.6 Concluding Remarks
Acknowledgments
References
14 Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound
14.1 Introduction
14.2 Liquidity
14.3 Learning
14.4 Lower Bound
14.5 Conclusion
Acknowledgments
14.6 Appendix: Moments of Truncated Bivariate Distribution
References
15 The Economics of the Comovement of Stocks and Bonds
15.1 Introduction
15.2 A Brief Literature Survey
15.3 The Stock-Bond Covariance and Learning about Fundamentals
15.4 Beliefs from Surveys and from the Model
15.5 Survey and Model Beliefs and the Stock-Bond Covariance
15.6 Some International Evidence
15.7 Summary
Acknowledgments
References
Part VI: Derivatives: Markets and Pricing.
16 Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework
16.1 Introduction
16.2 Background on the New Derivatives Regulatory Framework
16.3 Exchange-Traded Derivatives
16.4 Noncleared Swaps
16.5 Cleared Swaps
16.6 Comparative Market Activity Across Execution Venues
16.7 Liquidity Fragmentation in Nondollar Swaps
16.8 Prospects for the Future
16.9 Appendix: The New Regulatory Framework for Interest Rate Derivatives in the United States and European Union
Acknowledgments
References
17 Risk-Neutral Pricing: Trees
17.1 Introduction
17.2 Binomial Trees
17.3 Risk-Neutral Pricing on Multistep Trees
17.4 From Diffusion Models to Binomial Trees
17.5 Trinomial Trees
References
18 Discounting and Derivative Pricing Before and After the Financial Crisis: An Introduction
18.1 Introduction
18.2 Forward Rate Agreements (FRAs)
18.3 Overnight Index Swaps (OISs)
18.4 Libor-Based Swaps
18.5 The Crisis and The Double-Curve Pricing of Libor-Based Swaps
18.6 The Pricing Of Libor-Based Interest Rate Options
18.7 Conclusions
References
Part VII: Advanced Topics in Derivatives Pricing
19 Risk-Neutral Pricing: Monte Carlo Simulations
19.1 Introduction
19.2 Risk-Neutral Pricing
19.3 Risk-Neutral Pricing: Monte Carlo Simulations
19.4 Valuation by Monte Carlo Simulation
19.5 Monte Carlo Simulations in Multifactor Models
19.6 Conclusion
References
20 Interest Rate Derivatives and Volatility
20.1 Introduction
20.2 Markets and the Institutional Context
20.3 Dissecting the instruments
20.4 Evaluation Paradigms
20.5 Pricing and Trading Volatility
20.6 Conclusions
20.7 Appendix
Acknowledgments
References
21 Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach.
21.1 Introduction
21.2 Collateralized Credit and Funding Valuation Adjustments
21.3 General Pricing Equation Under Credit, Collateral, and Funding
21.4 Numerical Results: Extending the Black-Scholes Analysis
21.5 Extensions
21.6 Conclusions: Bilateral Prices or Nonlinear Values?
References
Part VIII: Corporate and Sovereign Bonds
22 Corporate Bonds
22.1 Introduction
22.2 Market and Data
22.3 A Very Simple Model
22.4 Structural Models
22.5 Reduced-form Models
22.6 Risk Premia in Intensity Models
22.7 Dealing with Portfolios
22.8 Illiquidity as a Source Of Spreads
22.9 Some Additional Readings
22.10 Conclusion
References
23 Sovereign Credit Risk
23.1 Introduction
23.2 Literature Review
23.3 Modeling Sovereign Default
23.4 Credit Risk Premia
23.5 Estimating Intensity Models
23.6 Application to Emerging Markets
23.7 Application to the European Debt Crisis
23.8 Conclusion
23.9 Appendix: No Arbitrage Pricing
References
Index
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Handbook of fixed-income securities / edited by Pietro Veronesi.

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