Analysing and Interpreting the Yield Curve
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Analysing the curve
Product details
- ISBN 9781119141044
- Weight: 680g
- Dimensions: 150 x 231mm
- Publication Date: 26 Apr 2019
- Publisher: John Wiley & Sons Inc
- Publication City/Country: US
- Product Form: Hardback
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Understand and interpret the global debt capital markets
Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market.
Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used.
- Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models
- Gets you up to speed on the secured curve
- Describes application of theoretical versus market curve relative value trading
- Explains the concept of the risk-free rate
- Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models
This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
DR. MOORAD CHOUDHRY is Head of Asset-Liability Management at Cambridge & Counties Bank in Leicester. He previously worked as a sovereign bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, a structured finance repo trader at KBC Financial Products, and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland.
Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Institute of Directors, and a Freeman of the Worshipful Company of International Bankers.
