Fixed Income Markets: Management, Trading and Hedging

A comprehensive account of the cash and derivative products used in the global debt capital markets, this book provides detailed description of market conventions and trading practices, plus extended coverage of associated instruments such as derivatives and structured products. It extends the analysis to look at every aspect of managing bond positions, including correlation and funding issues. Highlights of this second edition include: developments in debt markets trading and hedging, including OIS discounting, CSA curves, and collateral management a chapter on convertibles, including the contingent convertible (CoCo) hedging, collateral, and correlation issues associated with valuing and managing a portfolio of derivatives an updated chapter on value-at-risk an overview of relative value trading and investment strategy The contents are invaluable to everyone with an interest in debt capital markets, including investors, traders, risk managers, and finance consultants.