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Advanced Fixed Income Analysis

Author

Listed:
  • Choudhry, Moorad

    (Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.)

  • Lizzio, Michele

    (Mediobanca Deloitte Financial Advisory)

Abstract

This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He introduces the latest techniques used for analysis and interpretation, including: Relative value trading Approaches to trading and hedging Dynamic analysis of spot and forward rates Interest rate modelling Fitting the yield curve Analysing the long bond yield Index-linked bond analytics Corporate bond defaults * Aspects of advanced analysis for experienced bond market practitioners * Complex topics described in an accessible style * Brings together a wide range of topics in one volume

Suggested Citation

  • Choudhry, Moorad & Lizzio, Michele, 2004. "Advanced Fixed Income Analysis," Elsevier Monographs, Elsevier, edition 1, number 9780750662635.
    • Handle: RePEc:eee:monogr:9780750662635
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    Cited by:

    1. Eduardo A. Cavallo & Patricio Valenzuela, 2010. "The determinants of corporate risk in emerging markets: an option-adjusted spread analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 59-74.
    2. Das, Rituparna, 2009. "Indian G-Sec Market: How the Term Structure Reacts to Monetary Policy," MPRA Paper 16436, University Library of Munich, Germany.
    3. Natalia Boliari & Kudret Topyan, 2022. "Credit Risk in G20 Nations: A Comparative Analysis in International Finance Using Option-Adjusted-Spreads," JRFM, MDPI, vol. 15(1), pages 1-23, January.
    4. Alessandra Ortolano & Eugenia Nissi, 2022. "The Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period," Risks, MDPI, vol. 10(3), pages 1-13, February.

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