DescriptionA well-rounded guide for those interested in European financial markets
With the advent of the euro and formation of the European Union, financial markets on this continent are slowly beginning to gain momentum. Individuals searching for information on these markets have come up empty-until now. The Handbook of European Fixed Income Markets is the first book written on this burgeoning market. It contains extensive, in-depth coverage of every aspect of the current European fixed income markets and their derivatives. This comprehensive resource includes both a qualitative approach to products, conventions, and institutions as well as quantitative coverage of valuation and analysis of each instrument. The Handbook of European Fixed Income Markets introduces readers to developed markets such as the U.K., France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe. Government and corporate bond market instruments and institutions are also discussed. U.S.-based investors, researchers, and academics as well as students and financial professionals in other parts of the world will all turn to this book for complete and accurate information on European financial instruments and markets.
Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finances services in London.
ABOUT THE EDITORS.
SECTION ONE: Background.
CHAPTER 1: Introduction to European Fixed Income Securities and Markets (Moorad Choudhry, Frank J. Fabozzi, and Steven V. Mann).
CHAPTER 2: Bondholder Value versus Shareholder Value (Claus Huber).
CHAPTER 3: Bond Pricing and Yield Measures (Frank J. Fabozzi and Steven V. Mann).
CHAPTER 4: Measuring Interest Rate Risk (Frank J. Fabozzi and Steven V. Mann).
SECTION TWO: Products.
CHAPTER 5: The Euro Government Bond Market (Antonio Villarroya).
CHAPTER 6: The Eurobond Market (David Munves).
CHAPTER 7: The German Pfandbrief and European Covered Bonds Market (Graham “Harry” Cross).
CHAPTER 8: European Inflation-Linked Bonds (Barclays Capital Inflation-Linked Research Team).
CHAPTER 9: The United Kingdom Gilts Market (Moorad Choudhry).
CHAPTER 10: The European Repo Market (Moorad Choudhry).
CHAPTER 11: European Residential Mortgage-Backed Securities (Phil Adams).
CHAPTER 12: European Commercial Mortgage-Backed Securities (Phil Adams).
CHAPTER 13: European Credit Card ABS (Markus Niemeier).
CHAPTER 14: European Auto and Consumer Loan ABS (Markus Niemeier).
CHAPTER 15: Structured Credit: Cash Flow and Synthetic CDOs (Oldrich Masek and Moorad Choudhry).
SECTION THREE: Interest Rate and Credit Derivatives.
CHAPTER 16: European Interest Rate Futures: Instruments and Applications (Brian A. Eales).
CHAPTER 17: Interest Rate Options (Lawrence Galitz).
CHAPTER 18: Pricing Options on Interest Rate Instruments (Brian A. Eales and Radu Tunaru).
CHAPTER 19: Interest Rate Swaps (Frank J. Fabozzi and Steven V. Mann).
CHAPTER 20: A Practical Guide to Swap Curve Construction (Uri Ron).
CHAPTER 21: Credit Derivatives (Richard Pereira, Rod Pienaar, and Moorad Choudhry).
CHAPTER 22: The Pricing of Credit Default Swaps and Synthetic Collateralized Debt Obligations (Greg Gentile, David Jefferds, and Warren Saft).
SECTION FOUR: Portfolio Management.
CHAPTER 23: Fixed Income Risk Modeling for Portfolio Managers (Ludovic Breger).
CHAPTER 24: An Empirical Analysis of the Domestic and Euro Yield Curve Dynamics (Lionel Martellini, Philippe Priaulet, and Stéphane Priaulet).
CHAPTER 25: Tracking Error (William Lloyd, Bharath K. Manium, and Mats Gustavsson).
CHAPTER 26: Portfolio Strategies for Outperforming a Benchmark (William T. Lloyd and Bharath K. Manium).
CHAPTER 27: Credit in Bond Portfolios (Claus Huber and Helmut Kaiser).
CHAPTER 28: Default and Recovery Rates in the Emerging European High-Yield Market (Mariarosa Verde
CHAPTER 29: Analysis and Evaluation of Corporate Bonds (Christoph Klein).
SECTION FIVE: Legal Considerations.
CHAPTER 30: Legal and Documentation Issues on Bonds Issuances (Lourdes Villar-Garcia and Trusha Patel).
CHAPTER 31: Trust and Agency Services in the Debt Capital Markets (Nick Procter and Edmond Leedham).