As western governments issue increasing amounts of debt, the fixed
income markets have never been more important. Yet the methods for
analyzing these markets have failed to keep pace with recent
developments, including the deterioration in the credit quality of
many sovereign issuers. In Fixed Income Relative Value Analysis,
Doug Huggins and Christian Schaller address this gap with a set of
analytic tools for assessing value in the markets for government
bonds, interest rate swaps, and related basis swaps, as well as
associated futures and options.
Taking a practitioner's point of view, the book presents the
theory behind market analysis in connection with tools for finding
and expressing trade ideas. The extensive use of actual market
examples illustrates the ways these analytic tools can be applied
in practice.
The book covers: Statistical models for quantitative market
analysis, in particular mean reversion models and principal
component analysis.An in-depth approach to understanding swap
spreads in theory and in practice.A comprehensive discussion of the
various basis swaps and their combinations.The incorporation of
credit default swaps in yield curve analysis.A classification of
option trades, with appropriate analysis tools for each
category.Fitted curve techniques for identifying relative value
among different bonds.A multi-factor delivery option model for bond
future contracts.
"Fixed Income Relative Value Analysis" provides an insightful
presentation of the relevant statistical and financial theories, a
detailed set of statistical and financial tools derived from these
theories, and a multitude of actual trades resulting from the
application of these tools to the fixed income markets. As such,
it's an indispensable guide for relative value analysts, relative
value traders, and portfolio managers for whom security selection
and hedging are part of the investment process.
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