Brazilian Derivatives And Securities

Author: Marcos C. S. Carreira
Editor: Springer
ISBN: 113747727X
Size: 16,83 MB
Format: PDF, Kindle
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The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.

Investment Risk Management

Author: H. Kent Baker
Editor: Oxford University Press, USA
ISBN: 0199331960
Size: 13,90 MB
Format: PDF, Kindle
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All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions and many others encounter and must deal with risk. The main purpose of 'Investment Risk Management' is to provide an overview of developments in risk management and a synthesis of research involving the latest developments in the field.

Risk Management Of Sovereign Assets And Liabilities

Author: Marcel Cassard
Editor: International Monetary Fund
ISBN: 1451903316
Size: 12,25 MB
Format: PDF, Kindle
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In an environment of sizable and volatile capital flows and integrated international capital markets, large and unhedged net external sovereign liabilities expose countries to swings in international asset prices and to potential speculative currency attacks. The paper argues that an essential step in reducing emerging market vulnerability to such external shocks is to reform the institutional arrangements governing asset and liability management policies, so as to promote a transparent, publicly accountable, and professional incentive structure.

A Primer On Managing Sovereign Debt Portfolio Risks

Author: Thordur Jonasson
Editor: International Monetary Fund
ISBN: 1484351843
Size: 19,32 MB
Format: PDF, Kindle
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This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.

Fx Swaps

Author: Ms. Li L. Ong
Editor: International Monetary Fund
ISBN: 1452787387
Size: 17,10 MB
Format: PDF, Kindle
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The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008, giving rise to concerns over the ability of banks to roll over their funding requirements and manage their liquidity risk. The turmoil also raised questions about banks'' ability to continue their supply of credit to the local economy, as well as the external financing gap it could create. In this paper, we examine the channels through which FX swap transactions could affect a country''s financial and economic stability, and highlight the strategies central banks can employ to mitigate market pressures. While not offering any judgment on the instrument itself, we show that the use of FX swaps for funding and hedging purposes is not infallible, especially during periods of market stress.

Brazilian Market Portfolio

Author: Cristina Tessari
Editor: International Monetary Fund
ISBN: 1475586744
Size: 11,73 MB
Format: PDF, ePub, Docs
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In recent years, Brazil has achieved substantial progress in capital market development by building a diversified investor base and expanding the menu of available financial instruments. In this context, we evaluated the invested Brazilian market portfolio for a period spanning 2005–15. This is a portfolio of all assets proportionally weighted by their market capitalization, and it is divided in eight broad categories: government bonds, equities, bank funding bonds, corporate bonds, real-estate, agribusiness, private-equity, and credit bonds. While the paper focuses on stylized facts related to market size, composition weighting and changes over time, the estimated market portfolio contains important information for policy makers and market participants alike.

Finance Development June 2009

Author:
Editor: International Monetary Fund
ISBN: 1455209236
Size: 10,98 MB
Format: PDF, ePub, Docs
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'Crisis Shakes Europe: Stark Choices Ahead' looks at the harsh toll of the crisis on both Europe's advanced and emerging economies because of the global nature of the shocks that have hit both the financial sector and the real economy, and because of Europe's strong regional and global trade links. Marek Belka, Director of the IMF's European Department, writes in our lead article that beyond the immediate need for crisis management, Europe must revisit the frameworks on which the European Union is based because many have been revealed to be flawed or missing. But in many respects, one key European institution has proved its mettle—the euro. Both Charles Wyplosz and Barry Eichengreen discuss the future of the common currency. Also in this issue, IMF economists rank the current recession as the most severe in the postwar period; John Lipsky, the Fund's First Deputy Managing Director, examines the IMF's role in a postcrisis world; and Giovanni Dell'Ariccia assesses what we have learned about how to manage asset price booms to prevent the bust that has caused such havoc. In addition, we talk to Oxford economist Paul Collier about how to help low-income countries during the current crisis, while Donald Kaberuka, President of the African Development Bank, writes about how African policymakers can prepare to take advantage of a global economic recovery. 'Picture This' looks at what happens when aggressive monetary policy combats a crisis; 'Back to Basics' gives a primer on fiscal policy; and 'Data Spotlight' takes a look at the recent large swings in commodity prices.

Manufacturing And Managing Customer Driven Derivatives

Author: Dong Qu
Editor: John Wiley & Sons
ISBN: 1118632524
Size: 17,12 MB
Format: PDF, ePub
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Manufacturing and Managing Customer-Driven Derivatives Manufacturing and Managing Customer-Driven Derivatives sheds light on customer-driven derivative products and their manufacturing process, which can prove a complicated topic for even experienced financial practitioners. This authoritative text offers up-to-date knowledge and practices across a broad range of topics that address the entire manufacturing, pricing and risk management process, including practical knowledge and industrial best practices. This resource blends quantitative and business perspectives to provide an in-depth understanding of the derivative risk management skills that are necessary to adopt in the competitive financial industry. Manufacturing and managing customer-driven derivative products have become more complex due to macro factors such as the multi-curve environments triggered by the recent financial crises, stricter regulatory requirements of consistent modelling and managing frameworks, and the need for risk/reward optimisation. Explore the fundamental components of the derivatives business, including equity derivatives, interest rates derivatives, real estate derivatives, and real life derivatives, etc. Examine the life cycle of manufacturing derivative products and practical pricing models Deep dive into a wide range of customer-driven structured derivative products, their investment or hedging payoff features and associated risk exposures Examine the implications of changing regulatory standards, which can increase costs in the banking sector Discover practical yet sophisticated product analysis, quantitative modeling, infrastructure integration, risk analysis, and hedging analysis Gain insight on how banks should handle complex derivatives products Manufacturing and Managing Customer-Driven Derivatives is an essential guide for quants, structurers, derivatives traders, risk managers, business executives, insurance industry professionals, hedge fund managers, academic lecturers, and financial math students who are interested in looking at the bigger picture of the manufacturing, pricing and risk management process of customer-driven derivative transactions. "Like many people on the quantitative side of finance I’ve often wondered why and how the more complex derivatives are created. I mean, some of the term sheets I’ve seen are just downright bizarre. Well, thanks to Dong Qu, the expert in both quant finance and the business side, now I know. Dong covers everything from creative ideas, country specifics, regulatory issues, and tax implications, to modeling and risk management. This is an excellent book, unique for its breadth of coverage, genuinely for the whole business of quantitative finance." Paul Wilmott, Wilmott Magazine "With so many books out there on derivatives pricing, I thought it was impossible to write a new, original one. Dong Qu proved I was wrong. Not only does this volume focus on the main industry-standard pricing models, it also sheds light on the typical workflow and development process of derivatives contracts in banks, from quant library design to meeting new regulatory risk-management requirements. I wish this book was out there when I started my career as a front-office quant!" Fabio Mercurio, Global Head of Quant Analytics, Bloomberg "Everything you always wanted to know about financial derivatives but were afraid to ask could also be the title of this book. Written by an author with over 20 years of experience in the industry, this book joins practical hedging, risk management and regulation issues with sophisticated yet not overly complicated maths. An absolute must for all practitioners and very informative for academicians." Dariusz Gatarek, Professor, Polish Academy of Sciences "This book has been expertly written from a practitioner’s viewpoint. Dong Qu uses his vast experience of working in major global banks to create an operationally relevant textbook, delivering a range and subject matter which is very readable and applicable in today’s financial markets. He writes clearly and authoritatively on all aspects of the life-cycle, manufacturing and regulation of structured products. He also uses his mathematical skills to explore and clearly explain pricing models, whilst never ignoring the practicalities of applying quantitative models to actual risk management requirements." Andrew Law, Global Head of Institutional Sales & Structuring, Bank of Ireland Global Markets

Emerging Capital Markets And Globalization

Author: Augusto de la Torre
Editor: World Bank Publications
ISBN: 9780821365441
Size: 13,78 MB
Format: PDF, Kindle
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Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.

Handbook Of Debt Securities And Interest Rate Derivatives

Author: A V Rajwade
Editor: Tata McGraw-Hill Education
ISBN: 0070656614
Size: 13,13 MB
Format: PDF, ePub
Read: 704
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The importance of fixed income portfolios and the need to manage them prudently and optimally has grown rapidly in the recent years. Liberalization of the interest rate regime and consequent volatility of interest rates have added to both the risks and rewards of fixed income portfolios. Handbook of Debt Securities and Interest Rate Derivatives covers:*Debt Securities and Markets*Money Market*Bond Market in India*Primary Market in G-Secs*Secondary Market*Interest Rate Derivatives*Market Practices and Data SourcesCD-ROM contains excel worksheets for calculating price yields, cash flows, amortising swaps, etc.