Huggins / Schaller Fixed Income Relative Value Analysis

A Practitioners Guide to the Theory, Tools, and Trades
1. Auflage 2013
ISBN: 978-1-118-47721-2
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, Band 1, 382 Seiten, E-Book

Reihe: Bloomberg Professional

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.

Autoren/Hrsg.

Huggins, Doug

Schaller, Christian

Inhaltsverzeichnis

Foreword by Henry Ritchotte
Relative Value: a Practitioner's Guide vii
INTRODUCTION
CHAPTER 1
Relative Value 1
PART I: STATISTICAL MODELS 17
CHAPTER 2
Mean Reversion 19
CHAPTER 3
Principal Component Analysis 51
PART II: FINANCIAL MODELS 113
CHAPTER 4
Some Comments on Yield, Duration, and Convexity 115
CHAPTER 5
Bond Futures Contracts 121
CHAPTER 6
LIBOR, OIS Rates, and Repo Rates 137
CHAPTER 7
Intra-Currency Basis Swaps 153
CHAPTER 8
Theoretical Determinants of Swap Spreads 157
CHAPTER 9
Swap Spreads from an Empirical Perspective 169
CHAPTER 10
Swap Spreads as Relative Value Indicators for
Government Bonds 185
CHAPTER 11
Fitted Bond Curves 193
CHAPTER 12
A Brief Comment on Interpolated Swap Spreads 207
CHAPTER 13
Cross-Currency Basis Swaps 211
CHAPTER 14
Relative Values of Bonds Denominated in Different
Currencies 223
CHAPTER 15
Credit Default Swaps 245
CHAPTER 16
USD Asset Swap Spreads versus Credit Default Swaps 273
CHAPTER 17
Options 299
EPILOGUE
CHAPTER 18
Relative Value in a Broader Perspective 349
Bibliography 357
Index 359

Über Autor(innen)

Doug Huggins has been working in the fixed income marketsin the US and Europe for 25 years. He managed the European fixedincome relative value research group at Deutsche Bank in the late90's, when the group was voted best in its class for threeconsecutive years by the readers of Global InvestorMagazine. He joined ABN AMRO in 2001 as Global Head of FixedIncome Relative Value Research, and subsequently became thefirm's Global Head of Hedge Fund Sales. In 2003, he started aproprietary trading desk at ABN, focusing on fixed income relativevalue opportunities. He continued a career as a relative valuetrader in the London offices of two global hedge funds: Citadel andOld Lane.
Doug has a Ph.D. in financial economics and statistics from theUniversity of Chicago and has focused throughout his career ondeveloping financial and statistical models for the purpose ofidentifying relative value opportunities in global markets. In bothResearch and Trading, Doug has applied these models successfully togenerate attractive risk-adjusted returns for clients and the firmsfor which he's traded. Doug is currently applying relativevalue models to the energy and agricultural markets as a managingdirector of Starsupply Commodity Brokers in London.
Christian Schaller earned a Ph.D. in Mathematics at theUniversity of Bonn, Germany before learning the tools of the fixedincome trade in the Relative Value team at Deutsche Bank, managedby Anshu Jain. Over time, he's made a number of originalcontributions, particularly in the areas of principal componentanalysis and basis swap modeling. While responsible for DeutscheBank's research in Tokyo, he was voted "best relativevalue researcher" by customers in the Greenwich survey.
As Global Head of Leveraged Investment Strategy at ABN AMRO,Christian used his skill to translate mathematical theory intoprofitable trading positions for the firm's most demandingclients, including hedge funds, proprietary trading desks, centralbanks, and other financial institutions. In 2004, Christian foundedShinzenbi, a consulting firm based in Japan, advising investmentbanks on the development, training, and management of quantitativeresearch teams.
In early 2013, Christian and Doug created Quantitative MarketsAnalysis Ltd, a London-based firm helping financial organizationsapply quantitative methods to identify relative value opportunitiesin global markets. In addition to financial software, QuantitativeMarkets Analysis provides consulting services, including stafftraining and the design and implementation of bespoke systems forpre-trade and post-trade analytics.