Описание: This book uses modern linear and nonlinear econometric methods to characterize how shocks to the yield of risky fixed income securities, such as sub-prime asset-backed or low-credit rating sovereign bonds, are transmitted to the yields in other markets.
Автор: George A Philips Название: Convertible Bond Markets ISBN: 0333687493 ISBN-13(EAN): 9780333687499 Издательство: Springer Рейтинг: Цена: 25853.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The convertible bond market has gained increasing significance on a global basis. This work offers a comprehensive assessment of the market place, illustrating how investors of all risk persuasions may best utilize the instrument.
Автор: Sebastian P. Werner Название: Short Selling Activities and Convertible Bond Arbitrage ISBN: 3834918865 ISBN-13(EAN): 9783834918864 Издательство: Springer Рейтинг: Цена: 12577.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The main cause of financial crisis may be found in the over-optimistic investing of b- ers that leads market prices away from fundamental values. However, in the aftermath of "excess" when stock markets tumble, it is usually the pessimists or short sellers who get publicly blamed. Despite the longstanding controversy on short selling activities, this market instrument remains a widely misunderstood concept by the public while it is an essential tool used by hedge funds for speculation and arbitrage. That is why it is important to investigate short selling for its different motivations and the resulting effect on stock returns, a subject whose empirical study is in its infancy. In his doctoral thesis, Sebastian examines convertible bond arbitrage, which is a typical hedge fund strategy that involves a long position in a convertible bond and a significant short position in the underlying stock. The short selling is employed as a hedge against movements in the stock price. With every change in the stock price, the hedge needs to be continuously readjusted, a practice which should lead companies with convertible bonds outstanding to have on average higher short selling activity than companies without convertible bonds. Furthermore, fundamental information should be processed differently in stocks with convertible bonds as stock price reactions based on the information are accompanied by the short selling of the convertible bond arbit- geurs.
Описание: The large volume of literature on convertible bonds addresses two basic complexes of problems: - Why and under which conditions do firms issue convertible bonds? - What is the fair value of a convertible bond? Christian Koziol's dissertation deals with the second problem. His dissertation differs from the predominant part of the literature in two aspects. First, he explicitly considers the strategic character of the conversion decision, as the timing and the volume of con- version affect the wealth of the stockholders and the remaining convertible bond holders. Second, he deals with a more general capital structure, where the firm has subordinated debt outstanding in addition to convertible bonds and stocks. Within this setting, he characterizes and analyzes the optimal conversion strategy and the endogenous prices of convertible bonds, stocks, and the additional debt for three cases: all convertible bonds are held by a monopolist, the convertible bond holders act competitively, and the compet- itive bond holders are constrained to convert their bonds in one block. The third variant is typical for the option-theoretic valuation of convertible bonds that uses the typical high contact condition for American options.
Contingent Convertibles (CoCos) represent debt that is subject to being converted automatically into common equity under pre-specified terms of conversion if the chosen regulatory capital ratio falls to a level triggering conversion. CoCos are that subspecies of contingent capital that references regulatory (Basel III) concepts in its triggers. From 2014, trigger points are set by common equity (Common Equity Tier 1 [CET1]) in percent of risk-weighted assets [RWA] or of more complicated measures of total exposure to a variety of risks, particularly credit risk. This is the first comprehensive book on CoCos, an innovative instrument that has attracted growing attention since it was first issued in 2009.
The book is mostly concerned with going-concern 'recovery-' rather than 'resolution-' CoCos, because avoiding failure and costly disruption of financial networks without government financing is the first order of business. CoCos hold a high promise of providing fully loss-absorbing equity capital when it is most needed and least available to financial institutions. Yet, having grown out of the 2007-2009 financial crisis, they are still an 'infant' reform instrument in many respects. Few of the instrument's design features (or even the rating, regulatory, and tax treatments) are entirely settled. This book seeks to move the discussion toward, and then past, the main decision points so that CoCos can prove their value for contingency planning and self-insurance all over the world. It is intended to increase the ability of issuers and investors to analyze and understand the different kinds of CoCos.
Автор: Moorad Choudhry Название: Bond and Money Markets, ISBN: 0750660783 ISBN-13(EAN): 9780750660785 Издательство: Elsevier Science Рейтинг: Цена: 25602.00 р. Наличие на складе: Поставка под заказ.
Описание: Serves as a reference to the aspects of fixed income markets and instruments. Useful for professionals and graduate students, this title features coverage of: Government and Corporate bonds, Eurobonds, callable bonds, convertibles; asset-backed bonds including mortgages and CDOs; derivative instruments; term structure models; and more.
Автор: Prof. Dr. Lutz Johanning; Volker Fl?gel Название: The Microstructure of European Bond Markets ISBN: 3835004239 ISBN-13(EAN): 9783835004238 Издательство: Springer Рейтинг: Цена: 9781.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The volumes outstanding in bond markets are by far larger than in equity markets. Despite this fact, most of the research on the microstructure of financial market s focuses on equity markets. This is even more surprising taking into account that (i) the microstructure of a financial market has a strong influence on its ability to allocate resources efficiently, and (ii) that the results obtained from equity markets cannot be applied to bond markets. The thesis addresses open questions related to the microstructure of bond markets and presents three empirical studies. In the first paper, a unique dataset of transactions in German federal securities is analyzed to address the question whether the historical grown structure of different coexisting trading segments - exchange trading, bilateral OTC trading, and brokered OTC trading - can be economically justified. There is evidence that the different trading segments are indeed regarded as non-interchangeable by the market participants. The second part of the thesis focuses on the price formation in customer-dealer and the interdealer bond markets by applying cointegration econometrics to a dataset of high fi-equency quotes for EMU government bonds. While the customer-dealer market is still very fragmented and intransparent, trading in the interdealer market concentrates on a smaller number of more transparent electronic trading systems like EuroMTS.
Автор: V. Conti; R. Hamaui; H.M. Scobie Название: Bond Markets, Treasury and Debt Management ISBN: 0412597403 ISBN-13(EAN): 9780412597404 Издательство: Springer Рейтинг: Цена: 28859.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Until not too many years ago, the Italian government bond market, though the third largest in the world in terms of size, was characterised by numerous inefficiencies and problems regarding both policy in managing the public debt and the operation of the market.
Автор: Moorad Choudhry Название: An Introduction to Bond Markets, 3rd Edition ISBN: 0470017589 ISBN-13(EAN): 9780470017586 Издательство: Wiley Рейтинг: Цена: 4275.00 р. Наличие на складе: Поставка под заказ.
Описание: Describes and define bonds within the context of the capital markets and the different types of bonds that are traded. Includes a detailed look at the analytical techniques used in the market by traders and fund managers. This new edition will update the section on swaps and risk management, update all exercises and examples, add a new section on credit derivatives, add a section on structured finance securities & add a section on trading. Contents also include: Bond yield Measurement, Interest Rate Risk, The UK gilt market and corporate debt markets, Risk Management, Off-balance sheet instruments, including swaps and options, and Overseas and emerging markets.
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