Format:
XXV, 550 S.
,
illustrations.
Edition:
2. ed.
Edition:
Online-Ausg. Amsterdam Elsevier Online-Ressource
ISBN:
0080941559
,
9780750681599
,
9780080941554
,
9781282711662
,
0750681594
Series Statement:
Securities Institute. Global capital markets series
Content:
The Repo Handbook, 2nd edition presents an overview of repo vehicles and markets with sufficient depth for those seeking detailed explanations. In three parts it demonstrates how these secured loans fit into global capital markets and why they account for up to 50% of daily settlement activity in non-US government bonds worldwide. This new edition replaces≤old examples and introduces new developments, such as structured finance repo and associated topics such as Basel II regulatory rules. In addition, ≤12 of 18 chapters feature new sections and≤4 have been substantially rewritten
Note:
Includes bibliographical references and index. - Print version record
,
Front Cover; The REPO Handbook; Copyright Page; Dedication; Epigraph; Contents; Foreword; Preface; Preface to the First Edition; Acknowledgements; About the Author; Part I: Repo and the Dept Capital Markets; Chapter 1: Introduction to Repo; Chapter 2: Market Background: The Bond Markets I; Chapter 3: Market Background: The Bond Markets II; Chapter 4: Market Background: The Money Markets; Chapter 5: The Repo Instrument; Chapter 6: The Uses and Economic Functions of Repo; Chapter 7: Structured Repo Products and the Total Return Swap; Chapter 8: Trading and Hedging I: Introduction.
,
Front Cover; The REPO Handbook; Copyright Page; Dedication; Epigraph; Contents; Foreword; Preface; Preface to the First Edition; Acknowledgements; About the Author; Part I: Repo and the Dept Capital Markets; Chapter 1: Introduction to Repo; 1.1 Key features; 1.2 Market participants; 1.3 Development of repo; 1.3.1 History; 1.3.2 Types of Repo; Selected bibliography and references; Chapter 2: Market Background: The Bond Markets I; 2.1 Time value of money; 2.1.1 Introduction; 2.1.2 Present Value and Discounting; 2.2 Bond pricing and yield: the traditional approach; 2.2.1 Bond Pricing
,
2.2.2 Bond Yield2.3 Accrued interest, clean and dirty bond prices, and day counts; 2.4 Duration, modified duration and convexity; 2.4.1 Duration; 2.4.2 Properties of Macaulay Duration; 2.4.3 Modified Duration; 2.4.4 Convexity; Appendices; Appendix 2.1 Measuring Convexity; Selected bibliography and references; Chapter 3: Market Background: The Bond Markets II; 3.1 Basic concepts; 3.1.1 Zero-Coupon Bonds; 3.1.2 Coupon Bonds; 3.2 Forward rates; 3.2.1 The Forward Rate; 3.3 Bond price in continuous time; 3.3.1 Fundamental Concepts; 3.4 The term structure
,
3.4.1 Deriving the Spot Rate Curve from Coupon Bond Prices and Yields, Using a Simple Approach3.4.2 Calculating Spot Rates in Practice; 3.5 Term structure hypotheses; 3.5.1 The Expectations Hypothesis; 3.5.2 Liquidity Premium Hypothesis; 3.5.3 Segmented Markets Hypothesis; Appendices; Appendix 3.1: The Derivation of the Bond Price Equation in Continuous Time; Selected bibliography and references; Chapter 4: Market Background: The Money Markets; 4.1 Overview; 4.2 Securities quoted on a yield basis; 4.2.1 Money Market Deposits; 4.2.2 Certificates of Deposit
,
4.3 Securities quoted on a discount basis4.3.1 Treasury Bills; 4.3.2 Bankers Acceptances; 4.3.3 Commercial Paper; 4.3.4 Commercial Paper Programmes; 4.4 Commercial paper yields; 4.5 Money market derivatives; 4.5.1 Forward Rate Agreements; 4.6 Short-term interest rate futures; 4.6.1 Description; 4.6.2 Pricing Interest Rate Futures; 4.6.3 Hedging Using Interest Rate Futures; Appendices; Appendix 4.1 Currencies Using Money Market Year Base of 365 Days; Appendix 4.2 Selected Country Money Market Conventions; Selected bibliography and references; Chapter 5: The Repo Instrument
,
5.1 Repo instruments5.1.1 Definition; 5.2 The classic repo; 5.2.1 Illustration of Classic Repo; 5.2.2 Examples of Classic Repo; 5.3 The sell/buy-back; 5.3.1 Definition; 5.3.2 Examples of Sell/Buy-Back; 5.4 Comparing classic repo and sell/buy-back; 5.5 Stock lending; 5.5.1 Definition; 5.5.2 Basic concepts; 5.5.3 Example of Stock Loan; 5.6 Comparing classic repo and stock lending; 5.7 Repo variations; 5.7.1 Tri-Party Repo; 5.7.2 Hold-in-Custody Repo; 5.7.3 Borrow/Loan vs Cash; 5.7.4 Bonds Borrowed/Collateral Pledged; 5.7.5 Borrow Versus Letter of Credit; 5.7.6 Cross-Currency Repo
,
5.7.7 Dollar Rolls
Additional Edition:
ISBN 9780750681599
Additional Edition:
Druckausg. The repo handbook
Language:
English
Keywords:
Internationaler Kapitalmarkt
;
Wertpapierpensionsgeschäft
;
Electronic books
;
Electronic books
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