The fixed income and foreign exchange (FX) markets have never been as challenging to operate in as they are today. The post-crash combination of reduced liquidity, higher operating costs, low interest rates, flat yield curves and increased regulation means that market makers and investors alike need to work harder to generate value and remain in full understanding of the markets. Random Walks in Fixed Income and Foreign Exchange brings together the best of detailed and original practitioner-orientated market research on many specialist areas of the bond and FX markets. Written by the highly regarded FX and bonds research desk at Commerzbank, the book offers varied and in-depth insight into specific topics of vital important to dealers and investors, including the cross-currency basis and hedging, the yield curve, and overseas issuance conversion factors which will give investors a genuine edge in generating value. Written in accessible text, it is a must-read for all those interested in bonds and FX.
Author(s): Jessica James, Michael Leister, Christoph Rieger
Series: The Moorad Choudhry Global Banking Series
Publisher: De Gruyter
Year: 2021
Language: English
Pages: 196
City: Berlin
Advance Praise for Random Walks in Fixed Income and Foreign Exchange
Foreword
Contents
Preface
Chapter 1 What Really is the Cross-Currency Basis?
Chapter 2 XVA and the Cross-Currency Basis
Chapter 3 Calculating Novel Cross-Currency Bases and FX Hedged Pickups
Chapter 4 FX Hedging of Fixed Income – What is the Best Way?
Chapter 5 Introducing the Conversion Factor
Chapter 6 An Empirical Method of Calculating the Term Premium
Chapter 7 An Update of the Term Premium Calculation
Chapter 8 Forward Curves, Duration and Convexity
Chapter 9 Implied vs Realised Convexity
List of Figures
List of Tables
About the Authors
References
Index
