证券回购协议产品市场导论An Introduction to Repo Markets
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作者： Moorad Choudhry著
出 版 社： Oversea Publishing House
出版时间： 2006-12-1字数：版次： 1页数： 201印刷时间： 2006/12/01开本：印次：纸张： 胶版纸I S B N ： 9780470017562包装： 平装编辑推荐
作者简介：
Dr Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.
内容简介
The Repo markets have grown dramatically in the past few years because of the need to hedge short positions in the capital and derivatives markets. Virtually all major currency markets in the world now have an established repo market, the facility is also increasingly being used in developing currency markets as well.
This book is a practical introduction that focuses on the instruments, applications and risk management techniques essential for this rapidly evolving market. Fully updated to reflect the changes in these markets, the book also includes worked examples and case studies, and new sections on basket and structured finance repo.
目录
Foreword
Preface
Preface to First Edition
About the author
1 INTRODUCTION TO REPO
Importance of repo
Market participants
The repo instrument
Characteristics of repo
Classic repo
Summary
The sell/buy-back
Stock lending
Other repo products
Tri-party repo
Hold in custody repo
Safe-keeping repo
Borrow/Loan versus cash
Bonds borrowed/collateral pledged
Cross-currency repo
Exotic repo structures
Selected references
2 MARKET BACKGROUND
Discounting and present value
Compounding
Discounting
Compounding more than once a year
Internal rate of return
Money market instruments
Securities quoted on a yield basis
Securities quoted on a discount basis
Money market formulae
Overview of bond market instruments
Definition of a bond
Fair pricing of bonds and bond yield
The yield curve
Theories of the yield curve
Bond price/yield relationship
Accrued interest
Accrual conventions
Selected references
3 THE MECHANICS OF REPO
4 BASKET REPO, SYNTHETIC REPO AND STRUCTURED FINANCE REPO
5 THE UK GILT REPO MARKET
6 OVERVIEW OF REPO TRADING AND THE FUTURES CONTRACT IMPLIED REPO RATE
7 REPO AND THE YIELD CURVE
8 THE GLOBAL MASTER REPURCHASE AGREEMENT
9 ACCOUNTING, TAX AND REGULATORY CAPITAL ISSUES IN REPO
Exercises
Answers to exercises
Case study: ABC Bank plc
Glossary
Appendix A: Duration
Appendix B: Basis Trading and the CTD Bond
Appendix C: Volatility
Abbreviations
Index
