A well-rounded guide for those interested in European financial
markets
With the advent of the euro and formation of the European Union,
financial markets on this continent are slowly beginning to gain
momentum. Individuals searching for information on these markets
have come up empty-until now. The Handbook of European Fixed Income
Markets is the first book written on this burgeoning market. It
contains extensive, in-depth coverage of every aspect of the
current European fixed income markets and their derivatives. This
comprehensive resource includes both a qualitative approach to
products, conventions, and institutions as well as quantitative
coverage of valuation and analysis of each instrument. The Handbook
of European Fixed Income Markets introduces readers to developed
markets such as the U.K., France, Germany, Italy, Spain, and
Holland, as well as emerging markets in Eastern Europe. Government
and corporate bond market instruments and institutions are also
discussed. U.S.-based investors, researchers, and academics as well
as students and financial professionals in other parts of the world
will all turn to this book for complete and accurate information on
European financial instruments and markets.
Frank J. Fabozzi (New Hope, PA) is a financial consultant, the
Editor of the Journal of Portfolio Management, and Adjunct
Professor of Finance at Yale University’s School of Management.
Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan
Chase structured finances services in London.
Tabella dei contenuti
PREFACE.
ABOUT THE EDITORS.
CONTRIBUTING AUTHORS.
SECTION ONE: Background.
CHAPTER 1: Introduction to European Fixed Income Securities and
Markets (Moorad Choudhry, Frank J. Fabozzi, and Steven V.
Mann).
CHAPTER 2: Bondholder Value versus Shareholder Value (Claus
Huber).
CHAPTER 3: Bond Pricing and Yield Measures (Frank J. Fabozzi and
Steven V. Mann).
CHAPTER 4: Measuring Interest Rate Risk (Frank J. Fabozzi and
Steven V. Mann).
SECTION TWO: Products.
CHAPTER 5: The Euro Government Bond Market (Antonio
Villarroya).
CHAPTER 6: The Eurobond Market (David Munves).
CHAPTER 7: The German Pfandbrief and European Covered Bonds
Market (Graham ‘Harry’ Cross).
CHAPTER 8: European Inflation-Linked Bonds (Barclays Capital
Inflation-Linked Research Team).
CHAPTER 9: The United Kingdom Gilts Market (Moorad
Choudhry).
CHAPTER 10: The European Repo Market (Moorad Choudhry).
CHAPTER 11: European Residential Mortgage-Backed Securities
(Phil Adams).
CHAPTER 12: European Commercial Mortgage-Backed Securities (Phil
Adams).
CHAPTER 13: European Credit Card ABS (Markus Niemeier).
CHAPTER 14: European Auto and Consumer Loan ABS (Markus
Niemeier).
CHAPTER 15: Structured Credit: Cash Flow and Synthetic CDOs
(Oldrich Masek and Moorad Choudhry).
SECTION THREE: Interest Rate and Credit Derivatives.
CHAPTER 16: European Interest Rate Futures: Instruments and
Applications (Brian A. Eales).
CHAPTER 17: Interest Rate Options (Lawrence Galitz).
CHAPTER 18: Pricing Options on Interest Rate Instruments (Brian
A. Eales and Radu Tunaru).
CHAPTER 19: Interest Rate Swaps (Frank J. Fabozzi and Steven V.
Mann).
CHAPTER 20: A Practical Guide to Swap Curve Construction (Uri
Ron).
CHAPTER 21: Credit Derivatives (Richard Pereira, Rod Pienaar,
and Moorad Choudhry).
CHAPTER 22: The Pricing of Credit Default Swaps and Synthetic
Collateralized Debt Obligations (Greg Gentile, David Jefferds, and
Warren Saft).
SECTION FOUR: Portfolio Management.
CHAPTER 23: Fixed Income Risk Modeling for Portfolio Managers
(Ludovic Breger).
CHAPTER 24: An Empirical Analysis of the Domestic and Euro Yield
Curve Dynamics (Lionel Martellini, Philippe Priaulet, and
Stéphane Priaulet).
CHAPTER 25: Tracking Error (William Lloyd, Bharath K. Manium,
and Mats Gustavsson).
CHAPTER 26: Portfolio Strategies for Outperforming a Benchmark
(William T. Lloyd and Bharath K. Manium).
CHAPTER 27: Credit in Bond Portfolios (Claus Huber and Helmut
Kaiser).
CHAPTER 28: Default and Recovery Rates in the Emerging European
High-Yield Market (Mariarosa Verde
CHAPTER 29: Analysis and Evaluation of Corporate Bonds
(Christoph Klein).
SECTION FIVE: Legal Considerations.
CHAPTER 30: Legal and Documentation Issues on Bonds Issuances
(Lourdes Villar-Garcia and Trusha Patel).
CHAPTER 31: Trust and Agency Services in the Debt Capital
Markets (Nick Procter and Edmond Leedham).
INDEX.
Circa l’autore
FRANK J. FABOZZI, Ph D, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, and a consultant in the fixed income and derivatives area. Fabozzi is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.
MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products (UK) Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance services at JPMorgan Chase Bank. Choudhry is a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and a Fellow of the Securities Institute. He has published widely in the field of fixed income and derivatives, and is author of The Bond and Money Markets: Strategy, Trading, Analysis.
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