Handbook of fixed-income securities:
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| Format: | Book |
| Language: | English |
| Published: |
Hoboken, New Jersey
Wiley
[2016]
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| Series: | Wiley handbooks in financial engineering and econometrics
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| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029020121&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | xxvii, 600 Seiten Illustrationen |
| ISBN: | 9781118709191 |
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| adam_text | Contents
Notes on Contributors
Preface
xix
XXV
PARTI FIXED INCOME MARKETS 1
1 Fixed Income Markets: An Introduction 3
1.1 Introduction / 3
1.2 IJ.S. Treasury Bills, Notes, and Bonds / 7
1.3 Interest Rates, Yields, and Discounting / 8
1.4 The Term Structure of Interest Rates / 9
1.4.1 The Economics of the Nominal Yield Curve / 9
1.4.2 Idle Expectations Hypothesis / 13
1.4.3 Forward Rates as Expectation of Future Interest Rates9 / 16
1.4.4 Interpreting a Steepening of the Yield Curve / 17
1.5 Pricing Coupon Notes and Bonds / 17
1.5.1 Estimating the Zero-Coupon Discount Function / 18
1.5.2 Data and Bond Illiquidity / 19
1.6 Inflation-Protected Securities / 19
1.7 Floating Rate Notes / 22
1.8 Conclusion / 24
References / 24
2 Money Market Instruments 25
2.1 Overview of the Money Market / 25
2.2 U.S. Treasury Bills / 26
2.3 Commercial Paper / 27
2.3.1 General Facts about Commercial Paper / 27
2.3.2 Nonasset-Backed Commercial Paper / 27
2.3.3 Asset-Backed Commercial Paper / 28
2.4 Discount Window / 29
2.5 Eurodollars / 29
2.5.1 Eurodollar Futures / 31
vii
Vlll
CONTENTS
2.6 Repurchase Agreements / 32
2.6.1 Types of Repos and Haircuts / 32
2.6.2 Basic Forms of Repo Collateral / 33
2.6.3 Repo Rates and Collateral Value Risks / 34
2.6.4 The Run on Repo During the Financial Crisis / 34
2.7 Interbank Loans / 35
2.7.1 Federal Funds / 35
2.7.2 LIBOR / 37
2.7.3 Overnight Index Swaps and LIBOR-OIS Spreads / 38
2.7.4 A Model of LIBOR-OIS Spreads / 38
2.8 Conclusion / 40
References / 40
3 Inflation-Adjusted Bonds and the Inflation Risk Premium 41
3.1 Inflation-Indexed Bonds / 41
3.1.1 Mechanics of TIPS / 42
3.1.2 Valuing an Inflation-Indexed Bond / 42
3.2 Inflation Derivatives / 42
3.2.1 Constructing a Synthetic Nominal Treasury Bond with Inflation Swaps / 42
3.3 No-Arbitrage Pricing / 43
3.3.1 Zero-Coupon Bonds / 43
3.4 Inflation Risk Premium / 43
3.4.1 Determinants of the Inflation Risk Premium / 44
3.5 A Look at the Data / 45
3.5.1 Break-Even Rates / 45
3.5.2 Inflation Swap Rates / 46
3.5.3 Inflation Risk Premium. / 49
3.6 Conclusion / 50
3.7 Appendix / 50
3.7.1 Breeden-Lucas-Rubinstein Example / 50
3.7.2 Disaster Risk / 51
3.8 Data Appendix / 51
References / 52
4 Mortgage-Related Securities (MRSs) 53
4.1 Purpose of the Chapter / 53
4.2 Introduction to MRSs / 54
4.2.1 Mortgage and Securitization / 54
4.2.2 The Cash Flows of Mortgage Pools / 55
4.3 Valuation Overview / 57
4.3.1 OAS, OAD, and Negative Convexity / 58
4.3.2 Modeling Prepayment and Default / 60
4.4 Analyzing an MRS / 62
4.4.1 Modeling Prepayment and Default / 62
4.4.2 Freddie Mac’s STACR / 67
4.4.3 Analyzing the STACR Series 2013-DN1 / 71
4.5 Summary / 72
References / 73
CONTENTS
ix
PART II MONETARY POLICY AND FIXED INCOME MARKETS
75
5 Bond Markets and Monetary Policy
77
5.1 Introduction / 77
5.2 High-Frequency Identification of Monetary Policy Shocks / 78
5.2.1 Learning About Monetary Policy Surprises / 79
5.2.2 The Impact on Treasury Bond Yields / 81
5.2.3 The Timing of Expected Fed Interventions / 82
5.3 Target Versus Path Shocks / 84
5.3.1 The Economics of FOMC Meetings and Bond Yields / 86
5.4 Conclusions / 90
References / 91
6 Bond Markets and Unconventional Monetary Policy 93
6.1 Introduction / 93
6.2 Unconventional Policies: The Fed, ECB, and BOE / 94
6.2.1 Federal Reserve Operations / 94
6.2.2 Bank, of England Operations / 96
6.2.3 European Central Bank Operations / 97
6.3 Unconventional Policies: A Theoretical Framework / 101
6.3.1 Portfolio Balance (Duration) Channel / 102
6.3.2 Signaling Channel / 103
6.3.3 Credit and Capital Constraint Channel / 103
6.3.4 Preferred Habitat and Asset Scarcity Channel / 104
6.4 Unconventional Policies: The Empirical Evidence / 104
6.4.1 The Treasury Bond Market / 104
6.4.2 The MBS Market / 113
6.4.3 How Persistent is the Effect? / 115
6.5 Conclusions / 115
References / 116
7.1 Introduction / 119
7.2 Literature Review / 120
7.3 Interest Rate Risk Measures / 120
7.3.1 Duration / 121
7.3.2 Convexity / 122
7.3.3 Key Rate Duration / 123
7.3.4 Principal Component Analysis and Factor Duration / 123
7.4 Application to Asset Liability Management / 127
7.4.1 Nature of Liabilities / 127
7.4.2 Cash Row Matching / 128
7.4.3 Classic Immunization and Duration Matching / 130
7.4.4 Key Rate Duration Matching / 133
7.4.5 Factor Duration Matching / 137
PART III INTEREST RATE RISK MANAGEMENT
117
7 Interest Rate Risk Management and Asset Liability Management
119
X
COXTEXTS
7.5 Backtesting ALM Strategies / 141
7.6 Liability Hedging and Portfolio Construction / 142
7.7 Conclusions / 144
7.8 Appendix: The Implementation of Principal Component Analysis / 145
References / 146
8 Optimal Asset Allocation in Asset Liability Management
8.1 introduction / 147
8.2 Yield Smoothing / 150
83 ALM Problem / 151
8.3.1 Return and Yield Dynamics / 152
8.3.2 Preferences / 153
8.3.3 Constraints / 154
8.3.4 Data Description and Estimation / 155
8.4 Method / 155
8.5 Single-Period Portfolio Choice / 156
8.5.1 ALM with a VaR Constraint / 156
8.5.2 ALM with AFCs / 158
8.6 Dynamic Portfolio Choice / 160
8.6.1 Welfare and Portfolio Implications of Yield Smoothing / 160
8.6.2 Hedging Demands and Regulatory Constraints / 161
8.7 Conclusion / 164
8.8 Appendix. Return Model Parameter Estimates / 165
8.9 Appendix: Benchmark Without Liabilities / 165
References / 166
PART IV THE PREDICTABILITY OF BOND RETURNS
9 International Bond Risk Premia
9.1 Introduction / 171
9.2 Literature Review / 172
9.3 Notation and International Bond Market Data / 174
9.3.1 Notation / 174
9.3.2 International Bond Market Data / 174
9.4 Unconditional Risk Premia / 174
9.4.1 A Long-Term Perspective / 174
9.4.2 More Recent Evidence / 176
9.5 Conditional Risk Premia / 177
9.5.1 Local Predictors of Returns / 178
9.5.2 Global Predictors of Returns / 182
9.6 Understanding Bond Risk Premia / 185
9.6.1 Links to Economic Growth / 185
9.6.2 State Dependency / 187
9.7 Conclusion and Outlook / 187
References / 189
CONTENTS
XI
10 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity 191
10.1 Introduction / 191
10.2 Brief Literature Rev Lew / 192
10.3 Bond Data and Definitions / 193
10.3.1 Bond Notation and Definitions / 193
10.3.2 Yield Data / 194
10.4 Estimating the Liquidity Differential Between Inflation-Indexed and Nominal Bond Yields / 194
10.4.1 Estimation Strategy / 196
10.4.2 Data on Liquidity and Inflation Expectation Proxies / 197
10.4.3 Estimating Differential Liquidity / 197
10.5 Bond Excess Return Predictability / 201
10.5.1 Economic Significance of Bond Risk Premia / 205
10.6 Conclusion / 206
References / 208
11 U.S, Treasury Market: The High-Frequency Evidence 210
11.1 Introduction / 210
11.2 The U.S. Treasury Markets During the Financial Crisis / 211
11.2.1 Yields / 211
11.2.2 Volatility / 212
11.2.3 Ofi-the-Run/On-the-Run Yield Spread / 213
11.2.4 Trading Volume and Price Impact / 214
11.2.5 Fails / 215
11.2.6 Intraday Evidence on March 18, 2009 / 215
11.2.7 Summary / 216
11.3 The Reaction of Bond Prices and Interest Rates to Macroeconomic News / 217
11.3.1 Level Effects / 217
11.3.2 The Impact of Monetary Policy / 218
11.3.3 Realized-Volatility Patterns / 219
11.3.4 Macro News and Option-Implied Volatilities / 220
11.3.5 ARCH and GARCH Effects / 222
11.3.6 lumps / 224
11.3.7 Summary / 227
11.4 Market-Microstructure Effects / 228
11.4.1 Microstructure Effects in the Cash Market / 228
11.4.2 Joint Microstructure Effects in the Cash Market and Futures Markets / 231
11.4.3 Summary / 232
11.5 Bond Risk Premia / 232
11.5.1 Daily Evidence / 232
11.5.2 Intraday Evidence / 233
11.5.3 Summary / 234
11.6 The Impact of High-Frequency Trading / 234
11.6.1 The Effects of HFT on Liquidity, Volatility, and Risk Premia / 234
11.6.2 Summary / 236
11.7 Conclusions / 236
References / 236
XU
CONTENTS
PART V ADVANCED TOPICS ON TERM STRUCTURE MODELS AND THEIR ESTIMATION
12 Structural Affine Models for Yield Curve Modeling
12.1 Purpose and Structure of This Chapter / 241
12.2 Structural Models / 242
12.3 A Simple Taxonomy / 242
12.4 Why do we Need No-Arbitrage Models After All? / 243
12.5 Affine Models and the Drivers of The Yield Curve / 244
12.5.1 Expectations / 244
12.5.2 Term (Risk) Premia / 244
12.5.3 Convexity / 246
12.6 Introducing No-Arbitrage / 247
12.7 Which Variables Should One use? / 247
12.8 Risk Premia Implied by Affine Models with Constant Market Pnce of Risk / 249
12.9 Testable Predictions: Constant Market Pnce of Risk / 251
12.10 What Do We Know About Excess Returns? / 251
12.11 Understanding the Empirical Results on term Premia / 252
12.12 Enriching the First-Generation Affine Models / 254
12.13 Latent Vanables: The D’Amico, Kim, and Wei Model / 254
12.14 From Linear Regressors to Affine Models: the ACM Approach / 255
12.15 Affine Models using Principal Components as Factors / 256
12.16 The Predictions from the “Modem” Models / 258
12.17 Conclusions / 261
12.17.1 Models as Enforcers of Parsimony and Builders of Confidence / 261
12.17.2 Models as Enforcers of Cross-Sectional Restrictions / 262
12.17.3 Models as Revealers of Forward-Looking Informations / 262
12.17.4 Models as Enhancers of Understanding / 262
References / 263
13 The Econometrics of Fixed-Income Markets
13.1 Introduction / 265
13.2 Different Types of Term Structure Models / 266
13.2.1 Factor Models / 266
13.2.2 Observable Factors / 267
13.2.3 Latent Factors: Filtering versus Indirect Observation / 267
13.2.4 Macroeconomic Models / 267
13.2.5 Affine Models / 268
13.2.6 Yield-Based Models / 268
13.2.7 Forward-Based Models / 269
13.3 Parametric Estimation Methods / 269
13.3.1 GMM / 270
13.3.2 Maximum Likelihood / 270
13.3.3 QML / 271
13.3.4 Efficient Method of Moments / 271
13.3.5 Estimation Bias in Mean-Reversion Parameters / 272
CONTENTS
xiii
13.4 Maximum Likelihood Estimation / 272
13.4.1 Observed State Variables / 272
13.4.2 Latent State Variables / 273
13.5 Constructing the Likelihood Function: Expansion of the Transition Density / 275
13.5.1 Deducibility / 276
13.5.2 The Irreducible Case / 277
13.6 Concluding Remarks / 278
References / 279
14 Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound 282
14.1 Introduction / 282
14.2 Liquidity / 283
14.2.1 Bills, Notes, and Bonds / 283
14.2.2 Market Liquidity and Short-Selling Costs / 284
14.2.3 Hedging Demand / 286
14.2.4 Risky Arbitrage / 287
14.2.5 Segmented Markets and Preferred Habitats / 287
14.2.6 Funding Risk / 288
14.2.7 Implication for Term Structure Models / 290
14.3 Learning / 291
14.3.1 Yield Survey Forecasts / 292
14.3.2 Affine Term Structure Models / 293
14.3.3 Spanning Survey Forecasts / 297
14.3.4 Adaptive Learning and Survey Forecasts / 299
14.3.5 Equilibrium Models of the Term Structure / 300
14.4 Lower Bound / 301
14.4.1 Square-Root and Autoregressive Gamma Models / 301
14.4.2 Black (1995)-Tobin (1958) / 303
14.4.3 No-Dominance Term Structure Models / 305
14.4.4 Recent Empirical Results / 306
14.5 Conclusion / 309
14.6 Appendix: Moments of Truncated Bivariate Distribution / 310
References / 311
15 The Economics of the Comovement of Stocks and Bonds 313
15.1 Introduction / 313
15.2 A Brief Literature Survey / 313
15.3 The Stock-Bond Covariance and Learning about Fundamentals / 315
15.3.1 Investors’Beliefs About Composite Regimes / 316
15.3.2 Valuations and the “Fed Model” / 316
15.3.3 Explaining the Time Variation in the Stock-Bond Covariance / 318
15.4 Beliefs from Surveys and from the Model / 319
15.5 Survey and Mode] Beliefs and the Stock-Bond Covanance / 319
15.6 Some International Evidence / 322
15.7 Summary / 325
References / 325
XIV
CONTESTS
PART VI DERIVATIVES: MARKETS AND PRICING 327
16 Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework 329
16.1 Introduction / 329
16.2 Background on the New Derivatives Regulatory Framework / 331
16.2.1 Clearing / 332
16.2.2 Execution / 333
16.2.3 Reporting / 333
16.3 Exchange-Traded Derivatives / 335
16.3.1 Major Products / 335
16.3.2 Execution / 336
16.3.3 Clearing / 336
16.3.4 Market Activity / 339
16.4 Noncleaxed Swaps / 341
16.4.1 Major Products / 341
16.4.2 Execution / 342
16.4.3 Credit Risk Mitigation. / 345
16.4.4 Market Activity / 351
16.5 Cleared Swaps / 354
16.5.1 Major Products / 354
16.5.2 Market Activity / 355
16.6 Comparative Market Activity Across Execution Venues / 360
16.6.1 OTC versus Exchange-Traded Interest Rate Derivatives / 360
16.6.2 Bilateral versus SEE Execution of OTC Interest Rate Denvatives / 363
16.7 Liquidity Fragmentation in Nondollar Swaps / 366
16.8 Prospects for the Future / 368
16.8.1 Cleared Swaps and Exchange-Traded Interest Rate Derivatives / 369
16.8.2 Swap Futures / 370
16.8.3 Noncleared Swaps and End Users / 370
16.9 Appendix: The New Regulatory Framework for Interest Rate Derivatives in the United States and European
Union / 371
16.9.1 Classifications of Market Participants / 371
16.9.2 Clearing / 373
16.9.3 Execution / 375
16.9.4 Reporting / 376
16.9.5 Margin Requirements for Noncleared Swaps / 377
16.9.6 Capital Requirements for Noncleared Swaps / 379
16.9.7 Cross-Border and Extraterritoriality Issues / 381
References / 385
17 Risk-Neutral Pricing: Trees
17.1 Introduction / 389
17.2 Binomial Trees / 389
17.2.1 One-Step Binomial Trees / 389
17.2.2 The Market Price of Risk / 393
17.3 Risk-Neutral Pricing on Multistep Trees / 394
17.3.1 Calibration of Risk-Neutral Trees to the Yield Curve / 395
CONTENTS
XV
17.3.2 The Pricing of European Options / 397
17.3.3 The Pricing of American Options / 400
17.4 From Diffusion Models to Binomial Trees / 403
17.4.1 The Hull and White Model / 405
17.5 Trinomial Trees / 406
17.5.1 Calibration to the Yield Curve / 407
17.5.2 Pricing Bermudan Contracts Using the Tnnomial Tree / 410
17.5.3 Calibration to the Volatility Curve / 412
References / 413
18 Discounting and Derivative Pricing Before and After the Financial Crisis: An Introduction 414
18.1 Introduction / 414
18.2 Forward Rate Agreements (FRAs) / 415
18.2.1 Forward Rates / 417
18.2.2 Forward Rates after the Crisis / 418
18.2.3 A Simple Explanation for the “Arbitrage” / 420
18.3 Overnight Index Swaps (OISs) / 422
18.3.1 OIS Discount Curve / 424
18.4 FIBOR-Based Swaps / 424
18.4.1 LIBOR Discount Curve with Single-Curve Pricing / 426
18.5 The Crisis and the Double-Curve Pricing of LIBOR-Based Swaps / 426
18.5.1 Extracting FRA Rates from Swap Quotes / 428
18.5.2 Extracting the Discount Curve from FRA Rates / 428
18.5.3 Summing Up / 429
18.6 The Pricing of LIBOR-Based Interest Rate Options / 430
18.6.1 Black’s Option Pricing Formula / 430
18.6.2 Caps and Floors before and after the Crisis / 431
18.6.3 Swaptions before and after the Crisis / 432
18.7 Conclusions / 433
References / 433
PART VII ADVANCED TOPICS IN DERIVATIVES PRICING 435
19 Risk-Neutral Pricing: Monte Carlo Simulations 437
19.1 Introduction / 437
19.2 Risk-Neutral Pricing / 437
19.2.1 Interest Rate Models / 440
19.2.2 The Market Price of Risk / 441
19.2.3 Valuation under P and under Q / 441
19.2.4 Multifactor Models / 442
19.3 Risk-Neutral Pricing: Monte Carlo Simulations / 446
19.3.1 Discretization of the Vasicek Model / 447
19.3.2 Discretization of the Cox-Ingersoll-Ross Model / 448
19.3.3 Interest Rate Modeling at the Zero Lower Bound / 451
19.4 Valuation by Monte Carlo Simulation / 451
19.4.1 Valuation of Securities with Payoff at Fixed Date / 452
19.4.2 MC Valuation of Callable Bonds / 455
19.4.3 MC Valuation of Securities with Amencan or Bermudan Exercise Style / 456
XVI
CONTENTS
19.5 Monte Carlo Simulations in Multifactor Models / 461
19.5.1 Discretization Procedure of the Affine Factor Models / 462
19.5.2 MC Simulations for Callable Secunties in Multifactor Models / 462
19.6 Conclusion / 467
References / 467
20 Interest Rate Derivatives and Volatility 469
20.1 Introduction / 469
20.2 Markets and the Institutional Context / 469
20.2.1 Market Size / 469
20.2.2 OTC IRD Trading and Volatility / 471
20.2.3 Exchange-Listed IRD Trading and Volatility / 472
20.2.4 Recent Developments in the IRD Market / 473
20.3 Dissecting the Instruments / 473
20.3.1 Government Bonds / 474
20.3.2 Time Deposits / 476
20.3.3 Forwards Rate Agreements and Interest Rate Swaps / 476
20.3.4 Caps, Floors, and Swaptions / 478
20.4 Evaluation Paradigms / 479
20.4.1 Models of the Short-term Rate / 479
20.4.2 No-Arbitrage Models / 481
20.4.3 Volatility / 485
20.5 Pacing and Trading Volatility / 487
20.5.1 Standard Volatility Trading Practice / 488
20.5.2 An Introduction to Interest Rate Vanance Swaps / 489
20.5.3 Pricing Volatility in Three Markets / 497
20.5.4 Current Forward-Looking Indexes of IRV / 502
20.5.5 Products on IRV Indexes / 505
20.6 Conclusions / 507
20.7 Appendix / 508
References / 512
21 Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach 514
21.1 Introduction / 514
21.2 Collateralized Credit and Funding Valuation Adjustments / 516
21.2.1 Trading under Collateralization and Closeout Netting / 517
21.2.2 Trading under Funding Risk / 520
21.3 General Pacing Equation Under Credit, Collateral, and Funding / 522
21.3.1 Discrete-Time Solution / 523
21.3.2 Continuous-Time Solution / 524
21.4 Numerical Results: Extending the Black-Scholes Analysis / 527
21.4.1 Monte Carlo Algorithm / 527
21.4.2 Market, Credit, and Funding Risk Specification / 529
21.4.3 Preliminary Analysis without Credit Risk and with Symmetric Funding Rates / 529
21.4.4 Full Analysis with Credit Risk, Collateral, and Funding Costs / 531
21.4.5 Nonlineaaty Valuation Adjustment / 533
21.5 Extensions / 535
21.6 Conclusions: Bilateral Paces or Nonlinear Values? / 536
References / 537
PART VIII CORPORATE AND SOVEREIGN BONDS
22 Corporate Bonds
22.1 Introduction / 541
22.2 Market and Data / 542
22.2.1 Data on Bond Characteristics / 542
22.2.2 Data on Market Paces / 542
22.2.3 Understanding Market Data from TRACE / 543
22.3 A Very Simple Model / 544
22.3.1 The Credit Spread Arising from Expected Loss / 545
22.3.2 Adding a Risk Premium / 545
22.4 Structural Models / 546
22.4.1 Merton’s Model with Beta / 546
22.4.2 Bankruptcy Costs / 549
22.4.3 Early Default / 550
22.5 Reduced-form Models / 550
22.5.1 A Useful Approximation / 552
22.5.2 Closed-Form Solutions / 553
22.6 Risk Premia in Intensity Models / 554
22.7 Dealing with Portfolios / 556
22.8 Illiquidity as a Source of Spreads / 557
22.9 Some Additional Readings / 558
22.10 Conclusion / 559
References / 559
23 Sovereign Credit Risk
23.1 Introduction / 561
23.2 Literature Review / 563
23.3 Modeling Sovereign Default / 564
23.3.1 Risk-Neutral Pricing / 564
23.3.2 Pricing Sovereign Credit Default Swaps / 567
23.3.3 Pricing in a Lognormal Model / 568
23.4 Credit Risk Premia / 568
23.5 Estimating Intensity Models / 569
23.6 Application to Emerging Markets / 570
23.6.1 Credit Markets of Emerging Economies / 571
23.6.2 Credit Risk Premia in Emerging Credit Markets / 572
23.7 Application to the European Debt Crisis / 575
23.7.1 Credit Risk Premia in the Eurozone / 578
23.8 Conclusion / 580
23.9 Appendix: No Arbitrage Pricing / 580
23.9.1 The Risk-Neutral Default Intensity / 583
References / 584
Index
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| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)936412310 (DE-599)BVBBV043606047 |
| dewey-full | 332.63/2 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2 |
| dewey-search | 332.63/2 |
| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV043606047 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T17:40:55Z |
| institution | BVB |
| isbn | 9781118709191 |
| language | English |
| lccn | 015035755 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029020121 |
| oclc_num | 936412310 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-473 DE-BY-UBG DE-523 |
| owner_facet | DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-473 DE-BY-UBG DE-523 |
| physical | xxvii, 600 Seiten Illustrationen |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley handbooks in financial engineering and econometrics |
| spellingShingle | Handbook of fixed-income securities Fixed-income securities Derivat Wertpapier (DE-588)4381572-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Risikomanagement (DE-588)4121590-4 gnd Securitization (DE-588)4140657-6 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4121262-9 (DE-588)4121590-4 (DE-588)4140657-6 (DE-588)4143413-4 |
| title | Handbook of fixed-income securities |
| title_auth | Handbook of fixed-income securities |
| title_exact_search | Handbook of fixed-income securities |
| title_full | Handbook of fixed-income securities edited by Pietro Veronesi, University of Chicogo Booth School of Business |
| title_fullStr | Handbook of fixed-income securities edited by Pietro Veronesi, University of Chicogo Booth School of Business |
| title_full_unstemmed | Handbook of fixed-income securities edited by Pietro Veronesi, University of Chicogo Booth School of Business |
| title_short | Handbook of fixed-income securities |
| title_sort | handbook of fixed income securities |
| topic | Fixed-income securities Derivat Wertpapier (DE-588)4381572-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Risikomanagement (DE-588)4121590-4 gnd Securitization (DE-588)4140657-6 gnd |
| topic_facet | Fixed-income securities Derivat Wertpapier Festverzinsliches Wertpapier Risikomanagement Securitization Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029020121&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT veronesipietro handbookoffixedincomesecurities |