The handbook of interest rate risk management
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Burr Ridge, Ill. [u.a.]
Irwin
1994
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| 245 | 1 | 0 | |a The handbook of interest rate risk management |c ed. by Jack Clark Francis ... |
| 264 | 1 | |a Burr Ridge, Ill. [u.a.] |b Irwin |c 1994 | |
| 300 | |a XXX, 832 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 650 | 4 | |a Interest rate futures | |
| 650 | 4 | |a Interest rate risk | |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-007092483 | |
Datensatz im Suchindex
| _version_ | 1819674771029229568 |
|---|---|
| adam_text | CONTENTS
SECTION 1 INTRODUCTION TO INTEREST RATE
RISK MANAGEMENT 1
CHAPTER 1 THE TREASURY YIELD CURVE AND ITS
INTERPRETATION 4
Introduction, 3 Drawing the Yield Curve, 4 Definition of Yield to Maturity for
Coupon Bonds, 5 The Loss of Information in Considering only the Yield to
Maturity of Bonds, 6 What Are These Forward Rates? 9 Methods for Determining
the F from Treasury Bond Prices, 10 The General Method for Determining F
Rates, 10 A Simple Method for Determining F Rates, 10 The Treasury Coupon
Bond Yield Curve and the Yield Curve of One Period Forward Rates, 11 Inter¬
preting the Yield and Forward Rate Curves: Some Lessons, 13 Lesson One, 14
Lesson Two, 15 Lesson Three, 16 Lesson Four, 17 Conclusion, 18 Yield Curve for
Treasury Coupon Bonds, 19 The Forward Interest Rate Curve, 20
CHAPTER 2 FACTORS INFLUENCING THE LEVEL OF INTEREST
RATES 26
Introduction, 26 A Small Set of Forward Rates Determines All Bond Prices, 26
What Factors Determine the Level of Forward Rates ? 27 Influences on the Short
Rate, 28 The Mathematics of Inflation and Interest: Fisher s Law, 28 Will the
Real Inflation Rate Please Stand Up] 30 What Determines What1?, 31 Federal
Reserve Policy: A Factor Influencing Short Term Rates? 34 Influences on the
Long Run Interest Rate, 36 Traditional Theories of the Yield Curve, 36 Newer
Theories of the Yield Curve, 40 Summary, 41
CHAPTER 3 A CALL ADJUSTED TERM STRUCTURE ESTIMATION
METHODOLOGY 46
Abstract, 46 Basics of the Spot Curve, 47 A Simple Discount Function, 47 A Spot
Curve for the Treasury Market, 48 How to Incorporate the Callable Treasuries, 51
The Noncall Approach, 51 The First Call Approach, 51 The Dummy Variable
Approach, 51 The Option Pricing Approach, 52 The Call Adjusted Estimation
Technique, 54 An Iterative Procedure, 54 The Embedded Call Option Valuation,
55, Empirical Results, 55 Uniqueness and Existence of the Spot Curve, 55 The
xxiv Contents
Significance of the Call Provision, 57 The Diversity of the Call Provision, 61
Summary and Concluding Remarks, 65 Appendix: Theoretical and Actual Spot
Rate Curves, 66
CHAPTER 4 WHY HEDGE? 73
Introduction, 73 Impact of Interest Rate Changes on Asset Values, 73 Determi¬
nants of Asset Values, 73 Interest Rate Sensitivity of Asset Values, 75 Coupon
Effect, 76 Maturity Effect, 78 Why Hedge? 80 Measures of Interest Rate Sensitiv¬
ity, 82 Duration as a Measure of Interest Rate Sensitivity, 84 Appendix: a Gener¬
alized Duration Approach, 91
CHAPTER 5 HEDGING INTEREST RATE RISK: THE BASICS 95
Financial Risk, 95 Managing Risk, 96 Insurance, 97 Asset/Liability Management,
97 Hedging, 99 Hedging Foundations, 103 Translating Market Risks to Firm
Specific Risks, 104 Quantifying Interest Rate Risk, 106 Developing Hedge Ratios,
117 Measuring Hedge Effectiveness, 118 Measuring Hedge Cost, 120 Determin¬
ing the Hedge Horizon, 122 Selecting Hedge Instruments, 123 Miscellaneous
Considerations, 128
SECTION 2 FINANCIAL FUTURES 131
CHAPTER 6 INTRODUCTION TO THE FINANCIAL FUTURES
MARKETS 133
Background, 134 Trading Uses, 135 Eurodollar Swaps, 136 Synthetic Asset Allo¬
cation, 139 Inventory Hedging of Treasury Securities, 141 Pricing, 142 Products,
146
CHAPTER 7 STRUCTURE OF THE FINANCIAL FUTURES MARKETS 159
Exchange Structure and Governance, 160 Mode of Trading, 162 Multilateral Off¬
set and Clearing, 167 Financial Safeguards, 169 Futures Commission Merchants
(FCMs), 176 Regulation, 179 Appendix: Major International Interest Rate Futures
Exchanges, 181
CHAPTER 8 SHORT TERM HEDGING APPLICATIONS USING
FINANCIAL FUTURES 185
Hedging, 185 Financial and Cash Settled Futures, 186 LIBOR (London Interbank
Offered Rate), 189 Hedging Methodology, 191 Determining the Direction of
Hedging, 192 Choosing the Index, 193 Cash Flow, 193 Timing, 194 Scenario
Analysis, 198 Applicable Rate, 201 Single Contract, 201 Multicontract, 202 Roll¬
ing, 203 Long Term Exposure to Risk, 205 Appendix A: The Tail Effect, 210
Appendix B: Eurodollar Futures Contract, 211 Final Settlement Price, 211 Ap¬
pendix C: U.S. Treasury Bill Futures Contract, 212
CHAPTER 9 ACCOUNTING FOR FINANCIAL FUTURES AND
FORWARD CONTRACTS 214
Futures and Forward Contracts, 214 Futures Contracts, 215 FAS 80, 216 Ac¬
counting for Forward Contracts, 217 Accounting for a Forward Contract for a
Contents xxv
Financial Security, 217 Accounting for a Forward Contract for Foreign Currency:
A Premium, 222 Accounting for a Forward Contract for Foreign Currency: A
Discount, 223 Separate Accounting, 224 Conclusions, 225
CHAPTER 10 FORWARD RATE AGREEMENTS (FRA) 226
The FRA Market, 227 Availability and Pricing, 230 Applications, 232 FRAs ver¬
sus Futures in Managing Interest Rate Risk, 234 Liquidity, 235 Flexibility and
Basis Risk, 235 Administration, 235
CHAPTER 11 TASK ASPECTS OF FINANCIAL FUTURES 237
Straddles, 237 IRC Section 1256: Regulate Futures Contracts, 239 Timing and
Character Rules, 240 IRC Section 1092: Taxation of Straddles, 241 Offsetting
Positions, 242 Rules Applied to Straddles, 243 Avoiding Section 1256 and Section
1092 Rules, 244
SECTION III LISTED INTEREST RATE OPTIONS 247
CHAPTER 12 INTRODUCTION TO OPTIONS APPLICATIONS 249
Eurodollar Time Deposits and Eurodollar Futures, 250 Foundations of Options,
251 How Option Traders Trade, 254 How Risk Managers Hedge, 258
CHAPTER 13 THE STRUCTURE OF MARKETS FOR INTEREST
RATE OPTIONS 268
Introduction, 268 Introduction to Debt (Interest Rate) Options, 268 Definition of
an Option, 268 Option Prices, 269 Purchase of an Option, 271 Margin on an
Option Position, 272 Exercise of an Option, 272 Exchange Traded Options, 274
U.S. Markets, 21A Markets outside the United States, 278 The Microstructure of
Trading Systems, 282 Physical Exchanges, 282 Electronic Markets, 286 Market
Participants, 289 Credit Guarantees, 289 Over the Counter Options, 293 Market
Participants, 293 OTC Market Microstructure, 294 Credit Arrangements, 296
Combinations of OTC Options, 297 Embedded Options, 298 Conclusion, 299
CHAPTER 14 USING A ONE FACTOR MODEL TO VALUE
INTEREST RATE SENSITIVE SECURITIES: WITH AN APPLICATION TO
TREASURY BOND OPTIONS 302
The First Bond Option Valuation Models, 303 About this Chapter s Model, 303
Valuing Securities, 304 Illustration of How to Get Today s Values from Future
Values, 305 Finding Short Rates from the Term Structure, 306 Valuing Options on
Treasury Bonds, 310 Coupon Bonds as Collections of Zeros, 311 Puts and Calls
on Treasuries, 312 Option Hedge Ratios, 314 Reducing the Interval Size, 316
Alternative Models, 317 Computational Schortcuts, 319
CHAPTER 15 TAX RAMIFICATIONS OF OPTIONS 321
Option Premiums, 321 Character of Income, 323 Capital Assets, 325 Types of
Market Participants, 325 Hedging, 326
xxvi Contents
SECTION 4 INTEREST RATE SWAPS 331
CHAPTER 16 INTRODUCTION TO INTEREST RATE SWAPS 333
Types of Swaps, 334 Swap Characteristics, 335 Applications, 337 Execution of an
Interest Rate Swap, 340 Interest Rate Swap Economics, 343 Swap Risks, 345
CHAPTER 17 EXISTING AND POTENTIAL CREDIT (OR DEFAULT)
RISK IN SWAPS AND DERIVATIVE TRANSACTIONS 347
Introduction, 347 How and Why Do Exposures Occur? 348 Predicting Potential
Mark to Market Value, 350 Historic Observations, 352 Modeling, 354 Rule of
Thumb Approach, 357 Summary of Market Price Expectations, 358 Probability of
Default, 359 Bank Loan Pricing, 359 The Bond Markets, 363 Summary, 365 What
Happens when a Default Occurs? 367 Calculations, 369 Limited Two Way Pay¬
ments, 370 Full Two Way Payments, 370 Security, 370 Commercial Consider¬
ations, 371 Default History, 372 Default Survey, 372 The Regulatory Framework
for Banks, 373 Conclusion, 375
CHAPTER 18 A NO ARBITRAGE TERM STRUCTURE MODEL AND
THE VALUATION OF INTEREST RATE SWAPS 376
Introduction, 376 Interest Rate Swaps, 376 Floating Short Rates, 377 Plain Va¬
nilla Interest Rate Swaps, 378 Delayed Reset (In Arrears) Swaps, 379 Valuation
of Plain Vanilla Interest Rate Swaps, 380 No Arbitrage Term Structure Models,
381 Classes of Theoretical Term Structure Models, 381 Basic Characteristics of
No Arbitrage Term Structure Models, 382 A Discrete Time, Single Factor Con
sol Rate Model, 383 Short Rate Movements, 383 The Consol Rate Movements
and Consol Bond Values, 385 Relationship between Consol Rate and Short Rate
Movements, 387 Example Application of the Model: The Valuation of a 3 Year
Zero Coupon Bond by Dynamic Replication, 388 Valuation of Delayed Reset
Swaps, 393 Conclusion, 396
CHAPTER 19 THE INTEREST RATE SWAP TERM STRUCTURE 399
Introduction, 399 Short Term Swaps, 401 Long Term Swaps, 402 Swap Spread
Boundary Conditions, 404 Other Factors Affecting Long Term Swap Spreads,
406 Medium Term Swaps, 408 Quantitative Swap Spread Trading, 408 Step One:
Term Structure Fitting, 409 Step Two: Forward Term Structure Estimation, 410
Step Three: Quantifying Risk and Return, 413 Conclusion, 414 Appendix: Term
Structure Fitting, 415
CHAPTER 20 TECHNIQUES FOR DERIVING A ZERO COUPON
CURVE FOR PRICING INTEREST RATE SWAPS: A SIMPLIFIED
APPROACH 417
Synopsis, 417 Introduction, 417 Definitions, 418 Compounding Conversion For¬
mulas, 419 Discount Factor, 419 Present Value, 420 Future Value, 421 Law of
Exponents, 421 Term Structure Estimation, 421 Method I: Bootstrapping Using
Linear Interpolation of Par Coupon Rates, 422 Method II: Bootstrapping Using
Exponential Interpolation of Discount Factors, 427 Method III: Creating a Spot
Contents xxvii
Curve from Eurodollar Futures, 432 Swap Pricing, 439 Pricing a Four Year Plain
Vanilla Swap, 442 Pricing a Forward Swap, 443 Pricing a Forward Amortizing
Swap, 445 Solving for Unknowns, 446 Conclusion, 447 Appendix: The MFE
Group, Inc., SwapEngineerâ„¢ Computer Program, 448
CHAPTER 21 THE SWAP YIELD CURVE 452
Introduction, 452 What the Futures Curve Is Supposed to Be Telling Investors,
454 What the Futures Curve Is Really Telling Investors, 458 Getting Swap Rates
from Discounting Rates, 460 Cash Settled Swaps, 462 An Example of a Cash
Settled Swap Settlement Computation, 463 Information from the Swaps Curve,
464 Interpolation, 467
CHAPTER 22 ACCOUNTING IMPLICATIONS OF INTEREST RATE
SWAPS 469
A Basic Interest Rate Swap, 471 External Reporting for a Counterparty, 473
Accounting for Termination, 476 Accounting for Principals, 477 The Timing of
Swap Income, 478 The Risks of Matched Swaps, 479 Trading Risk, 480 Clean
Risk at Settlement, 483 Termination Loss, 485 Reset Risk, 485 Statement of
Financial Accounting Standards No. 105, 486 Materiality, 487 Accounting on a
Cash Basis, 487 Accounting on a Market to Market Basis, 487 Hedge Accounting
Issues, 491 Conclusions, 491
CHAPTER 23 SWAPS: A LEGAL PERSPECTIVE 495
Creation and Documentation of Swap Agreements, 495 Enforceability Issues, 496
Master Agreements, 499 Standardization Efforts, 501 Authorization Issues,
503 Termination, Damages, and Insolvency, 504 Termination, 504 Measures of
Damages, 505 Bankruptcy and Insolvency, 508 The Netting Provisions of the
Federal Deposit Insurance Corporation Improvement Act of 1991, 512 Regulatory
Considerations, 512 Bank Capital Adequacy Guidelines, 512 Securities Regula¬
tion, 514 Commodities Regulation, 515 Secondary Market Issues, 516, Conclu¬
sion, 516 Appendix: ISDA Master Agreement and Schedule to the Master, 518
CHAPTER 24 TAXATION OF INTEREST RATE SWAPS 540
Periodic Payments, 542 Example 1, 543 Example 2, 544 Termination Payments,
544 Example 3, 545 Nonperiodic Payments, 546 Example 4, 546 Market Value
Accounting, 548 Character, 548 Source, 549
SECTION 5 OVER THE COUNTER OPTIONS 551
CHAPTER 25 INTRODUCTION TO OVER THE COUNTER (OTC)
OPTIONS 553
Interest Rate Caps, 554, Caps, Floors, and Collars in Terms of Call and Put
Options, 555 Some Examples of Caps, Floors, and Collars, 560 Caps, Collars, and
Floors in Practice, 565, The Over the Counter Market, 566 End Users, 568 Size of
the Market, 570 Swaptions, 571 Size of the Swaption Market, 574 Equity Index
Options, 574 Currency Options, 575 Exotic Options, 577
xxviii Contents
CHAPTER 26 CHARACTERISTICS OF OTC OPTIONS 580
Interest Rate Caps and Floors, 581 Pricing of Caps and Floors, 584 Some Applica¬
tions, 587 Caps with Varying Notional Amount, 587 Step Up Caps, 588 Reducing
Swap Rate, 589 Corridors, 591 Floors, 591 Lowering Cost of Fund, 592 Collars
and Zero Cost Collars, 593 Center Lock, 595 Collars and Swaps, 596 Floortions,
Spreadtions, and Yield Curve Options, 598 Swaptions, 599 Path Dependent Op¬
tions, 600 Down and Out and Up and in Caps, 602 Trigger Options, 602 Sum¬
mary and Concluding Remarks, 604
CHAPTER 27 APPLICATIONS OF OTC OPTIONS 606
Introduction, 606 Interest Rate Caps and Floors, 608 Hedging Interest Rate Risk
Using Caps, 611 Selling Caps as Yield Enhancement, 612 Another Interest Rate
Cap Example, 613 Buying Floors to Hedge Downside Risk, 614 Selling Floors to
Reduce Financing Cost, 614 Interest Rate Collar, 615 Range Forwards, 616 Con¬
clusions, 618
CHAPTER 28 ACCOUNTING FOR TRADED OPTIONS 619
The Premium, 620 Market to Market, 620 Cost Based Accounting, 621 Investor:
Speculation, 622 Intrinsic Value and Time Value, 623 Investor Hedge, (HA Issuer:
Speculation, 626 Issuer: Hedge, 626 Recognition of Profit, 627 A Synthetic Fu¬
ture, 627 Buying Options to Hedge Stock Issue Commitments, 628 Options and
Debt, 629 EITF Abstract: Issue No. 87 31, 631 Foreign Currency Options, 631
Hedge Accounting: a Foreign Currency Option, 632 Hedging Risks with a Put,
633 Conclusions, 634 Appendix: AICPA Issues Paper, Accounting for Options
(March 6, 1986) 634
CHAPTER 29 THE LEGAL STRUCTURE OF OTC OPTIONS 642
Swaptions, 643 Physical Delivery, 643 Cash Settlement, 644 Caps, FJoors, and
Collars, 645 Commodity Trade Options, 646 Special Concerns, 647 Unknown Size
of the Market, 647 Illiquidity, 649 Conclusion, 649
SECTION 6 ASSET LIABILITY MANAGEMENT 651
CHAPTER 30 HEDGING AN ANTICIPATED DEBT OFFERING 653
Introduction, 653 Preliminary Considerations, 654 Risk Identification, 654 Defin¬
ing the Environment, 655 Balancing Hedge Objectives, 656 Hedge Design, 658
Fixing a Rate, 660 Full Rate Fix, 661 Fixing the Base Rate, 662 Fixing a Spread,
673 Capping a Rate, 675 Buying Put Options, 675 Caps and Collars, 680 Caputs,
683 Summary, 684 Appendix A: Forward Sale of Coupon Bond, 685 Appendix B:
Determining the Futures Hedge Ratio, 686
CHAPTER 31 FIXED INCOME RISK MANAGEMENT: DESIGN AND
PRACTICE 689
Overview, 689 Defining Risk, 690 Valuation Models, 693 Measuring Risk, 694
Hedging, 702 Current Risk Profile, 703 Modifying the Risk Profile, 703 Hedging
Instruments, 707 On 1he Run Bonds, 708 Interest Rate Futures, 709 Interest Rate
Options, 710 Swaps and Swaptions, 712 Concluding Remarks and Summary, 713
Contents xxix
CHAPTER 32 MANAGING A PORTFOLIO OF POSITIONS 717
Introduction, 717 Framework, 718 Categories of Risk, 719 Risk Management
Strategies, 719 Objectives, 723 Volatility and Correlation, 727 Time Series Data,
727 Statistical Methods, 728 RMU of a Portfolio, 729 Sample RMU Calculations
for a Two Instrument Portfolio, 729 Hedging and Trading, 730 RMU Hedging
Approach, 730 Trading, 732 RMU Applicability to Technical ALCO, 732 Conclu¬
sion, 734
SECTION 7 FUTURE OF THE MARKETS 737
CHAPTER 33 INNOVATIONS: BELLS AND WHISTLES 739
FRAs, SAFEs, and the FRA Clearinghouse, 739 Forward Rate Agreement, 740
FRA Clearinghouse, 741 SAFEs, 741 Swaptions, 742 Equity Swaps, 743 Warrant
Issues, 745 New Directions, 745 New Financial Structures, 746
CHAPTER 34 THE ELEMENTS OF INTEREST RATE
DERIVATIVES 749
Elementary Principles of Fixed Income Derivatives, 750 Exchange Traded and
OTC Derivatives Are Equivalent to Leveraged Cash Positions, 750 Outrights and
Options Are Pieces of the Same Puzzle, 752 The Zero Coupon Yield Curve Is the
Touchstone of Fixed Income Cash and Derivative Markets, 753 Develop an Intui¬
tion about the Behavior of Option Prices and Sensitivities within a Portfolio of
Options, 756 Measure Your Risks in Aggregate, Not Trade by Trade, 758 Elemen¬
tary Rules of Trading and Hedging, 759 Transact in the Market that Offers You
the Lowest Cost per Unit of Benefit, 759 Your Broker/Dealer Is a Resource, 759
You Must Be Able to Value What You Trade, 760 Consciously Choose the Risks
You Are Prepared to Live with in Exchange for the Risks You Cannot Afford to
Assume, 760 The More Customized the Derivative, the Less Liquid, and the More
Expensive, 761 Know the Liquidity Associated with Your Name and That of Your
Counterparty When Dealing in the OTC Market, 761 Avoid Self Critical 20 20
Hindsight, 762 Common Problems/Extra Costs, 762 A Management Comfortable
with Derivatives Is Rare, 762 You Have to Worry about Counterparty Defaults,
764 Do You Want to Pay for the Convenience of OTC Derivatives? 765 The Back¬
Office Processing of All Derivatives Will Make or Break You, 766 Your Regula¬
tory Environment Dictates Which Derivatives Market to Use, 767 Accounting
Treatment Will Define Success or Failure, 767 Using Derivatives Tax Advan¬
tages Can be a Profitable Enterprise, 768 Some Approaches to Usage, 769 Banks
Are Active in Both OTC and Exchange Traded Markets, 769 Insurance Compa¬
nies Are Becoming Increasingly Sophisticated, 771 Corporations Prefer the OTC
Markets to the Exchange Traded Markets, 772 Mutual Funds Have Been and Will
Continue to Be More Active in Exchange Traded Markets, 773 Pension Funds
and Their Investment Advisors Are Moving beyond Exchange Traded Derivatives
into the OTC Market, 774 Summary, 775
xxx Contents
APPENDIX 777
HP 12C Program to Calculate the Risk (Standard Deviation) of a Three Stock
Portfolio, 777 HP 12C Program to Calculate Convexity for an Annual Coupon
Paying Bond (with Added Instructions to Calculate Modified Convexity), 779 HP
12C Program to Calculate Modified Duration for an Annual Coupon Paying Bond,
781 HP 12C Program to Calculate Duration for an Annual Coupon Paying Bond,
783 HP 12C Program to Calculate Duration for a Semiannual Coupon Paying
bond, 785 HP 12C Program to Calculate Modified Duration for a Semiannual
Coupon Paying Bond, 787 HP 12C Program to Calculate Convexity for a Semian¬
nual Coupon Paying Bond (With Added Instructions to calculate Modified Con¬
vexity), 789 HP 12C Program to Calculate Horizon Yield for a Semiannual Cou¬
pon Paying Bond When Time to Horizon Is Less than Time to Maturity and Bond
Yield to Maturity Has Changed, 791 HP 12C Program to Calculate European Call
Price Using the Black Scholes Option Pricing Formula, 793 HP 12C Program to
Calculate European Call or European Put Price Using the Put Call Parity Equa¬
tion, 796 To Calculate PE when CE is Known, 800 HP 12C Program to Calculate
Price Sensitivity Hedge Ratios, 801 HP 12C Program to Calculate Conversion
Factors for T Bonds Eligible for Delivery against T Bond Futures Contracts, 803
INDEX 806
|
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| id | DE-604.BV010631464 |
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| indexdate | 2024-12-23T14:05:58Z |
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| language | English |
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| publishDate | 1994 |
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| spellingShingle | The handbook of interest rate risk management Interest rate futures Interest rate risk Zinstermingeschäft (DE-588)4124494-1 gnd |
| subject_GND | (DE-588)4124494-1 |
| title | The handbook of interest rate risk management |
| title_auth | The handbook of interest rate risk management |
| title_exact_search | The handbook of interest rate risk management |
| title_full | The handbook of interest rate risk management ed. by Jack Clark Francis ... |
| title_fullStr | The handbook of interest rate risk management ed. by Jack Clark Francis ... |
| title_full_unstemmed | The handbook of interest rate risk management ed. by Jack Clark Francis ... |
| title_short | The handbook of interest rate risk management |
| title_sort | the handbook of interest rate risk management |
| topic | Interest rate futures Interest rate risk Zinstermingeschäft (DE-588)4124494-1 gnd |
| topic_facet | Interest rate futures Interest rate risk Zinstermingeschäft |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007092483&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT francisjackclark thehandbookofinterestrateriskmanagement |