证券回购协议产品市场导论An Introduction to Repo Markets mobi 下载 网盘 caj lrf pdf txt 阿里云

The Repo markets have grown dramatically in the past few years because of the need to hedge short positions in the capital and derivatives markets. Virtually all major currency markets in the world now have an established repo market, the facility is also increasingly being used in developing currency markets as well.

This book is a practical introduction that focuses on the instruments, applications and risk management techniques essential for this rapidly evolving market. Fully updated to reflect the changes in these markets, the book also includes worked examples and case studies, and new sections on basket and structured finance repo.

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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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.

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The Repo markets have grown dramatically in the past few years because of the need to hedge short positions in the capital and derivatives markets. Virtually all major currency markets in the world now have an established repo market, the facility is also increasingly being used in developing currency markets as well. This book is a practical introduction that focuses on the instruments, applications and risk management techniques essential for this rapidly evolving market. Fully updated to reflect the changes in these markets, the book also includes worked examples and case studies, and new sections on basket and structured finance repo.