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Treasury finance and development banking : a guide to credit, debt, and risk / Biagio Mazzi.

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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 val...

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Bibliographic Details
Online Access: Full Text (via O'Reilly/Safari)
Main Author: Mazzi, Biagio
Format: eBook
Language:English
Published: Hoboken, New Jersey : Wiley, [2013]
Subjects:
Credit.
Bank loans.
Debt.
Financial risk.
Development banks.
Bank loans
Credit
Debt
Development banks
Financial risk
Table of Contents:
  • An introductory view to banking, development banking, and treasury
  • Curve construction
  • Credit and the fair valuing of loans
  • Emerging markets and liquidity
  • Bond pricing
  • Treasury revisited
  • Risk and asset liability management
  • Conclusion.
  • Machine generated contents note: ch. 1 Introductory View to Banking, Development Banking, and Treasury
  • 1.1. Representation of the Capital Flow in a Financial Institution
  • 1.2. Lending
  • 1.3. Borrowing
  • 1.4. Investing and ALM
  • 1.5. Basic Structure of a Traditional Financial Institution
  • 1.5.1. Private and Public Sides
  • 1.5.2. Sales and Trading Desks
  • 1.5.3. Treasury Desk
  • 1.6. Development Banking
  • 1.6.1. Different Types of Development Institutions
  • 1.6.2. Structure of a Development Bank
  • ch. 2 Curve Construction
  • 2.1. What Do We Mean by Curve Construction-- 2.2. Instruments Available for Curve Construction
  • 2.2.1. Discount Bonds and Cash Deposits
  • 2.2.2. Interest Rate Futures and Forward Rate Agreements
  • 2.2.3. FX Forwards
  • 2.2.4. Interest Rate Swaps
  • 2.2.5. Basis Swaps
  • 2.2.5.1. Tenor Basis Swaps
  • 2.2.5.2. Cross Currency Basis Swaps
  • 2.3. Using Multiple Instruments to Build a Curve
  • 2.4. Collateralized Curve Construction
  • 2.4.1. Evolution of the Perception of Counterparty Credit Risk
  • 2.4.1.1. Overnight Index Swaps
  • 2.4.2. Discounting in the Presence of Collateral
  • 2.4.2.1. Collateral in a Foreign Currency
  • 2.4.3. Clearing, the Evolution of a Price, and the Impact of Discounting
  • 2.4.4. Special Case of AAA-Rated Institutions
  • 2.5. Numerical Example: Bootstrapping an Interest Rate Curve
  • 2.5.1. Short End of the Curve: Deposits and FRAs
  • 2.5.2. Long End of the Curve: Interest Rate Swaps
  • 2.5.3. Interpolation and Extrapolation
  • ch. 3 Credit and the Fair Valuing of Loans
  • 3.1. Credit as an Asset Class
  • 3.1.1. Underlyings
  • 3.1.2. Credit Default Swaps
  • 3.2. Brief Overview of Credit Modeling
  • 3.2.1. Hazard Rates and a Spread-Based Modeling of Credit
  • 3.2.2. Bootstrapping of a Hazard Rate Curve
  • 3.2.3. Different Quotations and Different Currencies
  • 3.3. Fair Value of Loans and the Special Case of Development Institutions
  • 3.3.1. Argument around the Fair Valuing of Loans
  • 3.3.2. Prepayment Option and the Case of Development Institutions
  • 3.4. Numerical Example: Calculating the Fair Value of a Loan
  • ch. 4 Emerging Markets and Liquidity
  • 4.1. Definition of Emerging Markets
  • 4.2. Main Issues with Emerging Markets
  • 4.2.1. Liquidity
  • 4.2.2. Maturity
  • 4.2.3. Credit
  • 4.2.4. Capital Control
  • 4.3. Emerging Markets and Development Banking
  • 4.3.1. Borrowing
  • 4.3.2. Lending
  • 4.4. Case Studies of Development Projects
  • 4.4.1. Rural Development in X
  • 4.4.2. Development of Textile Exports in Y
  • ch. 5 Bond Pricing
  • 5.1. What Is a Bond-- 5.2. Few Fundamental Concepts of the Bond World
  • 5.2.1. Par
  • 5.2.2. Yield
  • 5.2.3. Duration
  • 5.3. Expressing Credit Explicitly When Pricing a Bond
  • 5.3.1. Benchmarks and Z-Spreads
  • 5.3.2. Asset Swaps
  • 5.3.3. Constructing a CDS-Implied Credit Framework for Bond Pricing
  • 5.4. Illiquid Bonds
  • 5.4.1. Pricing at Recovery
  • 5.4.2. Case Study: The Default of Greece
  • 5.4.3. Building Proxies
  • 5.4.3.1. Case of Missing Maturities
  • 5.4.3.2. Case of Quasi Government Entities
  • 5.4.3.3. Similar Countries
  • 5.4.3.4. Similar Companies
  • 5.5. Numerical Example: Estimating the Coupon of an Emerging Market Debt Instrument
  • ch. 6 Treasury Revisited
  • 6.1. Funding as an Asset Swap Structure
  • 6.1.1. Asset Swaps Revisited
  • 6.1.2. Impact of Discounting on Asset Swap Levels
  • 6.2. Funding Level Targets
  • 6.2.1. Objective of Ever-Smaller Funding Levels
  • 6.2.2. Different Funding Levels for Different Types of Debt
  • 6.3. Fundamental Differences between Investment Banking and Development Banking
  • 6.4. Benchmarks for Borrowing and Investing
  • 6.4.1. Borrowing
  • 6.4.2. Investing
  • 6.4.3. Case Study: A Note on the LIBOR Scandal
  • ch. 7 Risk and Asset Liability Management
  • 7.1. Issue of Leverage
  • 7.2. Hedging
  • 7.2.1. Risk Neutrality and the Meaning of Hedging
  • 7.2.2. Static and Dynamic Hedging
  • 7.2.3. Valuation in the Absence of Dynamic Hedging
  • 7.3. Managing Risk Related to Financial Observables
  • 7.3.1. Interest Rate and FX Risk
  • 7.3.1.1. Hedging a Fixed or Structured Bond
  • 7.3.1.2. Unhedgeable Nature of the Discount Spread Φ
  • 7.3.1.3. Hedging a Fixed-Rate Loan
  • 7.3.1.4. Hedging a Foreign Currency Bond or Loan
  • 7.3.1.5. Hedging a Credit-Linked Instrument Such as an Asset-Backed Security
  • 7.3.1.6. Hedging an Equity Position
  • 7.3.1.7. Locking an Interest Rate Position
  • 7.3.2. Credit Risk
  • 7.4. Funding Risk
  • 7.4.1. Funding Gap Risk
  • 7.4.2. Refinancing Risk
  • 7.4.2.1. Case of Constant Funding Level
  • 7.4.2.2. Case of Funding Level Lower Than Expected
  • 7.4.2.3. Case of Funding Level Higher Than Expected
  • 7.4.3. Numerical Example: Estimating Refinancing Risk
  • 7.4.4. Reset Risk
  • 7.4.5. Numerical Example: Estimating Reset Risk
  • ch. 8 Conclusion
  • 8.1. Credit Is Everywhere
  • 8.2. Fundamental Steps to Borrowing, Lending, and Investing: A Summary.

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