最 低 价：￥274.36
定 价：￥406.80
作 者：MooradChoudhry 著 著
出 版 社：Oversea Publishing House
出版时间：2006-12-1
I S B N：9780470017562
| 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. |
| 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 |
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