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About this book
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 development banking world which not only presents a clearer banking structure but in addition sits at the intersection of many topical issues (multi-lateral agencies, quasi-governmental entities, Emerging Markets, shrinking pool of AAA borrowers, etc.). This book covers:
- Curve construction (instruments, collateralization, discounting, bootstrapping)
- Credit and fair valuing of loans (modeling, development institutions)
- Emerging markets and liquidity (liquidity, credit, capital control, development)
- Bond pricing (credit, illiquid bonds, recovery pricing)
- Treasury (funding as an asset swap structure, benchmarks for borrowing/investing)
- Risk and asset liability management (leverage, hedging, funding risk)
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Information
Table of contents
- Treasury Finance and Development Banking
- Contents
- List of Figures
- List of Tables
- Acknowledgments
- Introduction
- CHAPTER 1 An Introductory View to Banking, Development Banking, and Treasury
- CHAPTER 2 Curve Construction
- CHAPTER 3 Credit and the Fair Valuing of Loans
- CHAPTER 4 Emerging Markets and Liquidity
- CHAPTER 5 Bond Pricing
- CHAPTER 6 Treasury Revisited
- CHAPTER 7 Risk and Asset Liability Management
- CHAPTER 8 Conclusion
- APPENDIX A Implying Zero Rates from FX Forward Quotes
- APPENDIX B CDS Spreads and Default Probabilities
- APPENDIX C Modeling the Credit-Driven Prepayment Option of a Loan
- APPENDIX D The Relation between Macaulay and Modified Durations
- APPENDIX E The Impact of Discounting on an Asset Swap Spread
- APPENDIX F Replication Leading to Risk-Neutral Probabilities
- References
- About the Web Site
- Index