Monday, January 18, 2016

An Introduction to International Capital Markets


An Introduction to International Capital Markets: Products, Strategies, Participants Second Edition
Buku ini diterbitkan tahun 2009  oleh  John Wiley & Sons Ltd., UK Adalah buku edisi  Kedua.


Judul:  An Introduction to International Capital Markets: Products, Strategies, Participants Second Edition
Oleh:  Andrew M. Chisholm
Penerbit:  John Wiley & Sons Ltd., UK
Tahun: 2009
Jumlah Halaman:   446 hal.




Editor:
Andrew M. Chisholm


Lingkup Pembahasan:
Buku ini dimaksudkan untuk memberikan pengenalan  tentang pasar pasar modal. Buku ini mengemukakan topic-topik bahasan secara rinci.
Bab 2 dan 3  mengemukakan tentang dua bidang bisnis yang sangat erat  keterkaitannya,
pasar untuk tingkat bunga  jangka pendek (Sospol) produk dan pasar valuta asing (FX) pasar. Di masa lalu ruang dealing  Bank penanganan instrumen tersebut akan menjadi terpisah menangani produk 'pasar tunai' dan 'turunan'. Kas atau pasar spot adalah pasar yang mendasari, dalam hal ini untuk pinjaman jangka pendek dan deposito dan untuk transaksi spot  valuta asing . Sebuah turunan sesuatu yang nilainya merupakan turunan dari harga di pasar tunai yang mendasari. Contohnya termasuk pilihan pada suku bunga dan mata uang. Bab 4-7  membahasa pasar untuk obligasi pemerintah dan korporasi, emiten dan investor, dan peran bank dalam membawa masalah ke pasar dan dalam perdagangan obligasi. Investor dan pedagang di obligasi harus memahami bagaimana efek yang murah dan bagaimana pengembalian dan risiko dievaluasi. Bab-bab ini mempertimbangkan berbagai langkah termasuk hasil hingga jatuh tempo (internal rate of return), durasi, konveksitas, dan aplikasi dan keterbatasan praktis mereka.
Bab 5 membahas sensitivitas obligasi terhadap perubahan suku bunga pasar. Bab 6 menunjukkan bagaimana untuk mendapatkan dan menerapkan tarif diskon dan suku bunga ke depan, alat benar-benar penting dalam keuangan modern. Bab 7 memperluas diskusi dengan menjelajahi risiko kredit pada surat utang serta credit default swap dan sekuritisasi. Ini mempertimbangkan hubungan antara probabilitas bahwa sebuah perusahaan akan default pada kewajiban utangnya dan pengembalian utang.
Bab 8 menjelaskan peran modal ekuitas pasar spesialis dalam investasi bank dalam proses menerbitkan saham baru. Mayoritas saham di modern dikembangkan Pasar dipegang oleh investor institusi. Bab 8-10 mengeksplorasi gaya investasi ekuitas dan pasar untuk perdagangan saham setelah mereka dikeluarkan. Mereka juga mempertimbangkan bagaimana saham dinilai menggunakan kelipatan seperti rasio harga / laba dan juga menggunakan metode discounted cash flow.
Bab 11-14 menjelaskan produk kunci yang digunakan untuk mengelola risiko suku bunga dan eksposur perubahan nilai obligasi: perjanjian forward rate, suku bunga berjangka, obligasi berjangka, dan swap suku bunga. Melalui serangkaian contoh dan studi kasus bab ini menunjukkan bagaimana instrumen ini digunakan dalam praktek dan bagaimana mereka dapat dari menggunakan alat yang diperkenalkan dalam bab-bab sebelumnya.
Bab 15 meluas diskusi dengan menjelajahi kontrak berjangka ekuitas yang tercatat dan ekuitas
transaksi swap. Bab 16 memperkenalkan konsep pilihan dasar dan  Bab 17 menjelaskan prinsip-prinsip yang mendasari harga opsi, termasuk penjelasan tentang bagaimana Black-Scholes model penentuan harga opsi yang terkenal dapat diatur pada spreadsheet.
Bab 18 menganggap penerapan model harga lebih detail. Ini terlihat bagaimana risiko pada posisi option diukur dan dikelola. Bab 19 membahas beberapa banyak aplikasi pilihan di hedging dan perdagangan. Bab 20 berlaku konsep pilihan untuk mata uang dan suku bunga pilihan, dengan satu set kasus manajemen risiko dan contoh. Ini mempertimbangkan bagaimana metodologi harga standar dapat disesuaikan dengan nilai opsi mata uang dan produk pilihan suku bunga seperti topi, lantai, dan swaptions. Akhirnya Bab 20 membahas obligasi konversi dan penggunaannya dalam investasi dan perdagangan dalam membangun arbitrase.

Daftar Isi Buku:
   
Acknowledgements xv
1  Introduction: The Market Context 1

    1.1 Capital and the Capital Markets 1
    1.2 The Euromarkets (International Capital Markets) 4
    1.3 Modern Investment Banking 5
    1.4 The Clients of Investment Banks 8
    1.5 About this Book 11
2  The Money Markets 15
    2.1 Chapter Overview 15
    2.2 Domestic Money Markets 15
    2.3 US Domestic Markets 16
    2.4 The European Central Bank (ECB) 18
    2.5 Sterling Money Markets 19
    2.6 The Bank of Japan 20
    2.7 Systemic Risks and Moral Hazards 20
    2.8 Treasury Bills 21
    2.9 Discounting Treasury Bills 21
    2.10 US Commercial Paper 24
    2.11 Credit Risk on USCP 25
    2.12 Bankers’ Acceptances 26
    2.13 The Eurocurrency Markets 26
    2.14 Eurocurrency Loans and Deposits 27
    2.15 Eurocurrency Interest and Day-Count 29
    2.16 Eurocurrency Certificates of Deposit 30
    2.17 CD Yield-to-Maturity 31
    2.18 Euro-Commercial Paper 31
    2.19 Repos and Reverses 32
    2.20 Repo: Case Study 33
    2.21 Other Features of Repos 33
    2.22 Chapter Summary 34
3     The Foreign Exchange Market 37
    3.1 Chapter Overview 37
    3.2 Market Structure 37
    3.3 FX Dealers and Brokers 38
    3.4 Spot Foreign Exchange Deals 39
    3.5 Sterling and Euro Quotations 40
    3.6 Factors Affecting Spot FX Rates 41
    3.7 Spot FX Trading 44
    3.8 Spot Position Keeping 45
    3.9 FX Risk Control 47
    3.10 Cross-Currency Rates 49
    3.11 Outright Forward FX Rates 50
    3.12 Outright Forward FX Hedge: Case Study 51
    3.13 Forward FX Formula 52
    3.14 FX or Forward Swaps 53
    3.15 FX Swap Two-Way Quotations 55
    3.16 Chapter Summary 56
4  Major Government Bond Markets 59
    4.1 Chapter Overview 59
    4.2 Introduction to Government Bonds 59
    4.3 Sovereign Risk 60
    4.4 US Government Notes and Bonds 62
    4.5 US Treasury Quotations 64
    4.6 US Treasury Strips 66
    4.7 Bond Pricing 67
    4.8 Pricing Coupon Bonds: Examples 68
    4.9 Detailed Bond Valuation: US Treasury 69
    4.10 Bond Yield 71
    4.11 Reinvestment Assumptions 72
    4.12 Annual and Semi-Annual Bond Yields 73
    4.13 UK Government Bonds 74
    4.14 Japanese Government Bonds (JGBs) 77
    4.15 Eurozone Government Bonds 77
    4.16 Chapter Summary 78
5  Bond Price Sensitivity 81
    5.1 Chapter Overview 81
    5.2 Bond Market Laws 81
    5.3 Other Factors Affecting Price Sensitivity 83
    5.4 Macaulay’s Duration 83
    5.5 Calculating Macaulay’s Duration 84
    5.6 Duration of a Zero 85
    5.7 Modified Duration 86
    5.8 Price Value of a Basis Point 87
    5.9 Convexity 88
    5.10 Measuring Convexity 88
    5.11 Convexity Behaviour 90
    5.12 Portfolio Duration 91
    5.13 Dedication 92
    5.14 Immunization 94
    5.15 Duration-Based Hedges 96
    5.16 Convexity Effects on Duration Hedges 97
    5.17 Chapter Summary 98
6  The Yield Curve 99
    6.1 Chapter Overview 99
    6.2 Real and Nominal Interest Rates 99
    6.3 Compounding Periods 100
    6.4 The Yield Curve Defined 101
    6.5 Theories of Yield Curves 102
    6.6 Zero Coupon or Spot Rates 104
    6.7 Bootstrapping 106
    6.8 Spot Rates and the Par Curve 108
    6.9 Pricing Models Using Spot Rates 108
    6.10 Forward Rates 109
    6.11 Discount Factors 110
    6.12 Chapter Summary 112
7  Credit Spreads and Securitization 113
    7.1 Chapter Overview 113
    7.2 Basics of Credit Spreads 113
    7.3 The Role of the Ratings Agencies 115
    7.4 Credit Spreads and Default Probabilities 117
    7.5 Credit Default Swaps 118
    7.6 Index Credit Default Swaps 121
    7.7 Basket Default Swaps 122
    7.8 Credit-Linked Notes 123
    7.9 Securitization and CDOs 124
    7.10 Rationale for Securitization 126
    7.11 Synthetic CDOs 126
    7.12 Chapter Summary 128
8     Equity Markets and Equity Investment 129
    8.1 Chapter Overview 129
    8.2 Comparing Corporate Debt and Equity 129
    8.3 Additional Features of Common Stock 130
    8.4 Hybrid Securities 131
    8.5 Equity Investment Styles 132
    8.6 Efficient Markets 133
    8.7 Modern Portfolio Theory (MPT) 135
    8.8 Primary Markets for Common Stock 138
    8.9 Subsequent Common Stock Issues 140
    8.10 Secondary Markets: Major Stock Markets 142
    8.11 Depository Receipts 145
    8.12 Stock Lending 146
    8.13 Portfolio (Basket) Trading 148
    8.14 Chapter Summary 148
9  Equity Fundamental Analysis 151
    9.1 Chapter Overview 151
    9.2 Principles of Common Stock Valuation 151
    9.3 The Balance Sheet Equation 152
    9.4 The Income Statement 154
    9.5 Earnings Per Share (EPS) 156
    9.6 Dividend Per Share (DPS) 157
    9.7 Ratio Analysis 158
    9.8 Liquidity Ratios 159
    9.9 Profitability Ratios 159
    9.10 Leverage Ratios 161
    9.11 Investor Ratios and Valuation 162
    9.12 Applying Valuation Multiples 163
    9.13 Firm or Enterprise Value Multiples 165
    9.14 Chapter Summary 166
10 Cash Flow Models in Equity Valuation 169
    10.1 Chapter Overview 169
    10.2 The Basic Dividend Discount Model 169
    10.3 Constant Dividend Growth Models 170
    10.4 The Implied Return on a Share 172
    10.5 Dividend Yield and Dividend Growth 172
    10.6 Price/Earnings Ratio 173
    10.7 Stage Dividend Discount Models 175
    10.8 Two-Stage Model: Example 175
    10.9 The Capital Asset Pricing Model (CAPM) 176
    10.10 Beta 177
    10.11 Estimating the Market Risk Premium 178
    10.12 The Equity Risk Premium Controversy 178
    10.13 CAPM and Portfolio Theory 180
    10.14 Free Cash Flow Valuation 183
    10.15 Forecasting Free Cash Flows 184
    10.16 Weighted Average Cost of Capital (WACC) 185
    10.17 Residual Value 186
    10.18 WACC and Leverage 187
    10.19 Assets Beta Method 189
    10.20 Company Value and Leverage 190
    10.21 Chapter Summary 191
11 Interest Rate Forwards and Futures 193
    11.1 Chapter Overview 193
    11.2 Forward Rate Agreements (FRAs) 193
    11.3 FRA Application: Case Study 194
    11.4 Borrowing Costs with an FRA Hedge 196
    11.5 FRA Market Quotations 197
    11.6 The Forward Interest Rate 199
    11.7 Financial Futures 201
    11.8 CME Eurodollar Futures 203
    11.9 Eurodollar Futures Quotations 203
    11.10 Futures Margining 204
    11.11 Margining Example: EURIBOR Futures on Eurex 205
    11.12 Hedging with Interest Rate Futures: Case Study 208
    11.13 Futures Strips 209
    11.14 Chapter Summary 211
    Appendix: Statistics on Derivative Markets 211
12 Bond Futures 213
    12.1 Chapter Overview 213
    12.2 Definitions 213
    12.3 The CBOT 30-Year US Treasury Bonds Futures 213
    12.4 Invoice Amount and Conversion Factors 214
    12.5 Long Gilt and Euro-Bund Futures 216
    12.6 Forward Bond Price 217
    12.7 Carry Cost 218
    12.8 The Implied Repo Rate 218
    12.9 The Cheapest to Deliver (CTD) Bond 219
    12.10 CTD Behaviour 221
    12.11 Hedging with Bond Futures 222
    12.12 Basis Risk 223
    12.13 Hedging Non-CTD Bonds 224
    12.14 Using Futures in Portfolio Management 225
    12.15 Chapter Summary 226
13 Interest Rate Swaps 227
    13.1 Chapter Overview 227

    13.2 Swap Definitions 227
    13.3 The Basic Interest Rate Swap Illustrated 228
    13.4 Typical Swap Applications 230
    13.5 Interest Rate Swap: Detailed Case Study 231
    13.6 Interest Rate Swap Terms 233
    13.7 Comparative Advantage 234
    13.8 Swap Quotations and Spreads 236
    13.9 Determinants of Swap Spreads 237
    13.10 Hedging Swaps with Treasuries 238
    13.11 Cross-Currency Swaps: Case Study 239
    13.12 Cross-Currency Swap Revaluation 241
    13.13 Chapter Summary 242
    Appendix: Swap Variants 242
14 Interest Rate Swap Valuation 245
    14.1 Chapter Overview 245
    14.2 Valuing a Swap at Inception 245
    14.3 Valuing the Swap Components 246
    14.4 Swap Revaluation 247
    14.5 Revaluation Between Payment Dates 248
    14.6 The Forward Rate Method 249
    14.7 Forward Rate Method on a Spreadsheet 251
    14.8 Swap Rates and LIBOR Rates 251
    14.9 Pricing a Swap from Futures 252
    14.10 Hedging Interest Rate Risk on Swaps 256
    14.11 Chapter Summary 257
15 Equity Index Futures and Swaps 259
    15.1 Chapter Overview 259
    15.2 Index Futures 259
    15.3 Margining Procedures 260
    15.4 Final Settlement and Spread Trades 262
    15.5 Hedging with Index Futures: Case Study 263
    15.6 Hedge Efficiency 264
    15.7 Other Uses of Index Futures 265
    15.8 Pricing an Equity Forward Contract 266
    15.9 Index Futures Fair Value 267
    15.10 The Basis 268
    15.11 Index Arbitrage Trade 269
    15.12 Running an Arbitrage Desk 270
    15.13 Features of Index Futures 271
    15.14 Equity Swaps 272
    15.15 Managing the Risks on Equity Swaps 273
    15.16 Structuring Equity Swaps 274
    15.17 Benefits and Applications of Equity Swaps 275
    15.18 Chapter Summary 276
16 Fundamentals of Options 277
    16.1 Chapter Overview 277
    16.2 Definitions 277
    16.3 Basic Option Trading Strategies 278
    16.4 Long Call: Expiry Payoff Profile 279
    16.5 Short Call: Expiry Payoff Profile 281
    16.6 Long Put: Expiry Payoff Profile 282
    16.7 Short Put: Expiry Payoff Profile 284
    16.8 Summary: Intrinsic and Time Value 284
    16.9 CBOE Stock Options 285
    16.10 CME S&P 500 Index Options 286
    16.11 Stock Options on LIFFE 287
    16.12 FT-SE 100 Index Options 288
    16.13 Chapter Summary 289
    Appendix: Exotic Options 289
17 Option Valuation Models 293
    17.1 Chapter Overview 293
    17.2 Fundamental Principles: European Options 293
    17.3 Synthetic Forwards and Futures 295
    17.4 American Options and Early Exercise 296
    17.5 Binomial Trees 297
    17.6 Expanding the Tree 300
    17.7 Black-Scholes Model 302
    17.8 Black-Scholes Assumptions 305
    17.9 Chapter Summary 305
    Appendix: Measuring Historic Volatility 306
18 Option Pricing and Risks 309
    18.1 Chapter Overview 309
    18.2 Intrinsic and Time Value Behaviour 309
    18.3 Volatility Assumption and Option Pricing 311
    18.4 Delta ( or δ) 312
    18.5 Delta Behaviour 313
    18.6 Gamma ( or _ ) 314
    18.7 Readjusting the Delta Hedge 315
    18.8 Gamma Behaviour 316
    18.9 Theta () 318
    18.10 Vega 319
    18.11 Rho (p) and Summary of Greeks 319
    18.12 Chapter Summary 321
    Appendix: Delta and Gamma Hedging 322
19 Option Strategies 325
    19.1 Chapter Overview 325
    19.2 Hedging with Put Options 325
    19.3 Covered Call Writing 329
    19.4 Collars 330
    19.5 Bull and Bear Spreads 332
    19.6 Other Spread Trades 334
    19.7 Volatility Revisited 336
    19.8 Volatility Trading: Straddles and Strangles 338
    19.9 Current Payoff Profiles 339
    19.10 Profits and Risks on Straddles 341
    19.11 Chapter Summary 343
20 Additional Option Applications 345
    20.1 Chapter Overview 345
    20.2 OTC and Exchange-traded Currency Options 345
    20.3 Hedging FX Exposures with Options: Case Study 346
    20.4 Pricing Currency Options 348
    20.5 Interest Rate Options 349
    20.6 Exchange-Traded Interest Rate Options 350
    20.7 Caps, Floors, and Collars 352
    20.8 Interest Rate Cap: Case Study 353
    20.9 Pricing Caps and Floors: Black Model 355
    20.10 Swaptions 357
    20.11 Interest Rate Strategies 359
    20.12 Convertible Bonds 360
    20.13 CB Measures of Value 361
    20.14 Conversion Premium and Parity 363
    20.15 Convertible Arbitrage 364
    20.16 Chapter Summary 366
Glossary of Financial Terms 369
Index 415   

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