Fixed Income Relative Value Analysis, + Website: A Practitioners Guide to the Theory, Tools, and Trades 1st edition by Huggins, Doug, Schaller, Christian (2013) Hardcover

by Doug Huggins

As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis , Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. Taking a practitioner’s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. The book Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it’s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process.

Genres: Finance

Hardcover

First published May 20, 2013

Reviews

[Plato So · Rating 4 out of 5]

Broad and detailed intro to fixed income rv strategies, a must for those who are interested in investing in this space

[Arup · Rating 5 out of 5]

Nice overview of the basic rv concepts. Especially liked the lucid explanation for negative swap spreads. There is a nice model which breaks down the swap spread as the sum of expected LIBOR-repo spreads. Check it out!