| Description |
1 online resource (333 pages) : illustrations (some color) |
| Bibliography |
Includes bibliographical references and index. |
| Summary |
Credit and credit risk permeates every corner of the financial world. Previously credit tended to be acknowledged only when dealing with counterparty credit risk, high-yield debt or credit-linked derivatives, now it affects all things, including such fundamental concepts as assessing the present value of a future cash flow. The purpose of this book is to analyze credit from the beginning-the point at which any borrowing entity (sovereign, corporate, etc.) decides to raise capital through its treasury operation. To describe the debt management activity, the book presents examples from the deve. |
| Contents |
An introductory view to banking, development banking, and treasury -- Curve construction -- Credit and the fair valuing of loans -- Emerging markets and liquidity -- Bond pricing -- Treasury revisited -- Risk and asset liability management -- Conclusion. |
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Machine generated contents note: ch. 1 Introductory View to Banking, Development Banking, and Treasury -- 1.1. Representation of the Capital Flow in a Financial Institution -- 1.2. Lending -- 1.3. Borrowing -- 1.4. Investing and ALM -- 1.5. Basic Structure of a Traditional Financial Institution -- 1.5.1. Private and Public Sides -- 1.5.2. Sales and Trading Desks -- 1.5.3. Treasury Desk -- 1.6. Development Banking -- 1.6.1. Different Types of Development Institutions -- 1.6.2. Structure of a Development Bank -- ch. 2 Curve Construction -- 2.1. What Do We Mean by Curve Construction-- 2.2. Instruments Available for Curve Construction -- 2.2.1. Discount Bonds and Cash Deposits -- 2.2.2. Interest Rate Futures and Forward Rate Agreements -- 2.2.3. FX Forwards -- 2.2.4. Interest Rate Swaps -- 2.2.5. Basis Swaps -- 2.2.5.1. Tenor Basis Swaps -- 2.2.5.2. Cross Currency Basis Swaps -- 2.3. Using Multiple Instruments to Build a Curve -- 2.4. Collateralized Curve Construction -- 2.4.1. Evolution of the Perception of Counterparty Credit Risk -- 2.4.1.1. Overnight Index Swaps -- 2.4.2. Discounting in the Presence of Collateral -- 2.4.2.1. Collateral in a Foreign Currency -- 2.4.3. Clearing, the Evolution of a Price, and the Impact of Discounting -- 2.4.4. Special Case of AAA-Rated Institutions -- 2.5. Numerical Example: Bootstrapping an Interest Rate Curve -- 2.5.1. Short End of the Curve: Deposits and FRAs -- 2.5.2. Long End of the Curve: Interest Rate Swaps -- 2.5.3. Interpolation and Extrapolation -- ch. 3 Credit and the Fair Valuing of Loans -- 3.1. Credit as an Asset Class -- 3.1.1. Underlyings -- 3.1.2. Credit Default Swaps -- 3.2. Brief Overview of Credit Modeling -- 3.2.1. Hazard Rates and a Spread-Based Modeling of Credit -- 3.2.2. Bootstrapping of a Hazard Rate Curve -- 3.2.3. Different Quotations and Different Currencies -- 3.3. Fair Value of Loans and the Special Case of Development Institutions -- 3.3.1. Argument around the Fair Valuing of Loans -- 3.3.2. Prepayment Option and the Case of Development Institutions -- 3.4. Numerical Example: Calculating the Fair Value of a Loan -- ch. 4 Emerging Markets and Liquidity -- 4.1. Definition of Emerging Markets -- 4.2. Main Issues with Emerging Markets -- 4.2.1. Liquidity -- 4.2.2. Maturity -- 4.2.3. Credit -- 4.2.4. Capital Control -- 4.3. Emerging Markets and Development Banking -- 4.3.1. Borrowing -- 4.3.2. Lending -- 4.4. Case Studies of Development Projects -- 4.4.1. Rural Development in X -- 4.4.2. Development of Textile Exports in Y -- ch. 5 Bond Pricing -- 5.1. What Is a Bond-- 5.2. Few Fundamental Concepts of the Bond World -- 5.2.1. Par -- 5.2.2. Yield -- 5.2.3. Duration -- 5.3. Expressing Credit Explicitly When Pricing a Bond -- 5.3.1. Benchmarks and Z-Spreads -- 5.3.2. Asset Swaps -- 5.3.3. Constructing a CDS-Implied Credit Framework for Bond Pricing -- 5.4. Illiquid Bonds -- 5.4.1. Pricing at Recovery -- 5.4.2. Case Study: The Default of Greece -- 5.4.3. Building Proxies -- 5.4.3.1. Case of Missing Maturities -- 5.4.3.2. Case of Quasi Government Entities -- 5.4.3.3. Similar Countries -- 5.4.3.4. Similar Companies -- 5.5. Numerical Example: Estimating the Coupon of an Emerging Market Debt Instrument -- ch. 6 Treasury Revisited -- 6.1. Funding as an Asset Swap Structure -- 6.1.1. Asset Swaps Revisited -- 6.1.2. Impact of Discounting on Asset Swap Levels -- 6.2. Funding Level Targets -- 6.2.1. Objective of Ever-Smaller Funding Levels -- 6.2.2. Different Funding Levels for Different Types of Debt -- 6.3. Fundamental Differences between Investment Banking and Development Banking -- 6.4. Benchmarks for Borrowing and Investing -- 6.4.1. Borrowing -- 6.4.2. Investing -- 6.4.3. Case Study: A Note on the LIBOR Scandal -- ch. 7 Risk and Asset Liability Management -- 7.1. Issue of Leverage -- 7.2. Hedging -- 7.2.1. Risk Neutrality and the Meaning of Hedging -- 7.2.2. Static and Dynamic Hedging -- 7.2.3. Valuation in the Absence of Dynamic Hedging -- 7.3. Managing Risk Related to Financial Observables -- 7.3.1. Interest Rate and FX Risk -- 7.3.1.1. Hedging a Fixed or Structured Bond -- 7.3.1.2. Unhedgeable Nature of the Discount Spread Φ -- 7.3.1.3. Hedging a Fixed-Rate Loan -- 7.3.1.4. Hedging a Foreign Currency Bond or Loan -- 7.3.1.5. Hedging a Credit-Linked Instrument Such as an Asset-Backed Security -- 7.3.1.6. Hedging an Equity Position -- 7.3.1.7. Locking an Interest Rate Position -- 7.3.2. Credit Risk -- 7.4. Funding Risk -- 7.4.1. Funding Gap Risk -- 7.4.2. Refinancing Risk -- 7.4.2.1. Case of Constant Funding Level -- 7.4.2.2. Case of Funding Level Lower Than Expected -- 7.4.2.3. Case of Funding Level Higher Than Expected -- 7.4.3. Numerical Example: Estimating Refinancing Risk -- 7.4.4. Reset Risk -- 7.4.5. Numerical Example: Estimating Reset Risk -- ch. 8 Conclusion -- 8.1. Credit Is Everywhere -- 8.2. Fundamental Steps to Borrowing, Lending, and Investing: A Summary. |
| Subject |
Credit.
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Bank loans.
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Debt.
|
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Financial risk.
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Development banks.
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Crédit. |
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Prêts bancaires. |
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Dettes. |
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Risque financier. |
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Banques de développement. |
|
credit. |
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Bank loans |
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Credit |
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Debt |
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Development banks |
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Financial risk |
| Other Form: |
Print version : Mazzi, Biagio. Treasury finance and development banking. Hoboken, New Jersey : John Wiley & Sons, 2013 9781118729120 (OCoLC)855704391 |
| ISBN |
9781118729427 (electronic bk.) |
|
1118729420 (electronic bk.) |
|
1299848680 (ebk) |
|
9781299848689 (ebk) |
|
9781118729366 |
|
1118729366 |
|
9781118738177 |
|
1118738179 |
| Music No. |
EB00067131 Recorded Books |
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