Analysing and Interpreting the Yield Curve (Wiley Finance) [Hardcover]

Moorad Choudhry (Author)

Book Description

Series: Wiley Finance | Publication Date: February 9, 2004

The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.

This groundbreaking new book offers:

• An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts
• Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve
• An opportunity for market professionals to have an understanding of the latest analytical techniques.

Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.

Editorial Reviews

From the Inside Flap

The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.

This groundbreaking new book offers:

• An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts
• Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve
• An opportunity for market professionals to have an understanding of the latest analytical techniques.

Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.

From the Back Cover

One of today's fastest growing investment and risk management mechanisms such as synthetic securitisations and structured products are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. This groundbreaking book offers a succinct and focused resource complete with global case studies on how they work, and how best to capitalize on them.

See all Editorial Reviews

Product Details

• Hardcover: 300 pages
• Publisher: Wiley; 1 edition (February 9, 2004)
• Language: English
• ISBN-10: 0470821256
• ISBN-13: 978-0470821251
• Product Dimensions: 9.3 x 6.8 x 1 inches
• Shipping Weight: 1.5 pounds (View shipping rates and policies)
• Average Customer Review: 3.9 out of 5 stars  See all reviews (10 customer reviews)
• Amazon Best Sellers Rank: #320,103 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

6 of 7 people found the following review helpful:

1.0 out of 5 stars Very weak, January 5, 2010

By 

sh - See all my reviews

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This review is from: Analysing and Interpreting the Yield Curve (Wiley Finance) (Hardcover)

Sorry to give this book a one star. But it is advertised by the publisher and the author as a tool for practitioners, not as a book to cram before the finals and then toss away for good.

The book reads like a collection of old academic papers without any connection to practical applications.

After using relatively advanced math, and going into unnecessary details of the old and useless academic theories, the applications is covered at a level of a introductory MBA class. You want a hedged steepener? Go ahead, "just match DV01, says the author. What about the fact the yield curves normally don't shift in parallel? That's where all those fancy models could come in to help construct a better hedge. The author's advice? He doesn't even mention the issue. What's the point of spending most of the book describing yield curve models that are never connected to even the most basic real problems?

A lot of comments are cryptic and poorly worded. You could match durations instead of DV01, says the book, but it doesn't work any better in practice. Huh?.. what's the difference? (There may be one, depending on the definition, but the author doesn't bother to explain.)

What about partial duration, principal components or any other standard yield curve modeling tools? Keep hoping. This is apparently not academic enough to mention.

Very, very disappointed.

13 of 18 people found the following review helpful:

5.0 out of 5 stars Example is always more efficacious than percept. A must buy, March 15, 2004

By 

H Fawzi (UK) - See all my reviews

This review is from: Analysing and Interpreting the Yield Curve (Wiley Finance) (Hardcover)

Yield Curve modeling is on of the major subjects of fixed income, a subject of great power and benefits. As the author explains eloquently (page 56) that the yield curve is very easy to grasp the basics, but difficult to become expert at. It is linked by countless equation with vast underlying framework.

Despite its forbidding nature yield curve modeling is vital component of the fixed income market. It has wide range of applications and practical importance. However, the lack understanding so often encountered leaves students and market investors with a gap between able to use the theory and being able to do so. One way of promoting understanding and bridging this gap is the method this book follows. The way of this book is to make the reader understand the subject by providing detailed explanation with carefully selected examples, show how principles and concepts may be applied to particular problem. And then offering the reader examples that differ slightly but which can be tackled by an extension of the approach that have been used previously. All this is evident in chapter one. In chapter two the author selects well motivated examples to demonstrate specific principle and concepts.

The book starts with an overview of the concept of bond yields and bond yield measurement. It then discusses the basic terminology of the yield curve. The core topics of classical yield curve are then examined in chapter two. It includes brief introduction to each topic where important results are stated and sometimes derived or reference given, followed by a number of practical example worked out in detail. Part two of the book deals with the very practical topic of yield curve modeling.

One of the powerful features of this book is that it provides relationship between theory and market practice. To sum up, the author explains all the components of the yield curve modeling at the atomic level.

Mo

3 of 4 people found the following review helpful:

5.0 out of 5 stars Excellent all-in coverage, January 11, 2006

By 

John Hammond (London) - See all my reviews

This review is from: Analysing and Interpreting the Yield Curve (Wiley Finance) (Hardcover)

This book brings together all related points and saves the practitioner from having to buy 2 or 3 books. It covers bond yield, yield curve estimation and modelling, and then brings it all together in a chapter on relative value trading and yield curve spread trading. An excellent, well-written book that I think all government bond and Eurobond traders and portfolio managers will want to check out.