Hi
Does anyone have a good link/ book covering fixed income markets. Something of more practical purpose as opposed to highly theoretical. Ideally one with some python doc....or too much to ask...
credit, corporate
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Kitno
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
credit, corporate
Glancing to my library
1. Fixed Income Securities, Tuckman - mostly rates focused but you need that before you get into Credit
2. Convertible bond arbitrage, Calamos
3. I realize there's not a credit book I can actually recommend - it's all been vocational. I'd drill ISDA and anything else you can find. I learnt about credit from great JPM, MS, LEH and other 100-page papers and vocationally.
4. Bonds without Borders, O'Malley - badly written but hugely insightful - the history of the Eurobond market (offshore financing thanks to LBJ, not Euro-denominated bonds - although many of them are EUR!)
#3 E.g. https://www.deriscope.com/docs/AssetSwaps_LehmanBrothers_2000.pdf.
1. Fixed Income Securities, Tuckman - mostly rates focused but you need that before you get into Credit
2. Convertible bond arbitrage, Calamos
3. I realize there's not a credit book I can actually recommend - it's all been vocational. I'd drill ISDA and anything else you can find. I learnt about credit from great JPM, MS, LEH and other 100-page papers and vocationally.
4. Bonds without Borders, O'Malley - badly written but hugely insightful - the history of the Eurobond market (offshore financing thanks to LBJ, not Euro-denominated bonds - although many of them are EUR!)
#3 E.g. https://www.deriscope.com/docs/AssetSwaps_LehmanBrothers_2000.pdf.
"Gentlemen, will you please decimate the bids?"
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nikol
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
credit, corporate
One of the best:
"Credit Risk: Modeling, Valuation and Hedging" - Bielecki, Tomasz R., Rutkowski, Marek
Gives solid basement.
https://developers.opengamma.com/quantitative-research/Bond-Futures-OpenGamma.pdf (and references inside)
Historically, style of bond quoting is heavily influenced by accounting ideology and terminology, which in fact obscures the reality. Yield curve remotely relates to risk factor such as risk free rate or credit spread and hence complex to hedge.
Good to know accounting fundamentals and principles of liquidity management related to funding of the balance sheet.
"Credit Risk: Modeling, Valuation and Hedging" - Bielecki, Tomasz R., Rutkowski, Marek
Gives solid basement.
https://developers.opengamma.com/quantitative-research/Bond-Futures-OpenGamma.pdf (and references inside)
Historically, style of bond quoting is heavily influenced by accounting ideology and terminology, which in fact obscures the reality. Yield curve remotely relates to risk factor such as risk free rate or credit spread and hence complex to hedge.
Good to know accounting fundamentals and principles of liquidity management related to funding of the balance sheet.