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Foreign Exchange and Money Markets : Theory, Practice and Risk Management - Bob Steiner

Foreign Exchange and Money Markets

Theory, Practice and Risk Management

Hardcover Published: 25th March 2002
ISBN: 9780750650250
Number Of Pages: 352

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Floating rates, central-bank intervention, derivatives trading and the very high volumes of speculative and round-the-clock trading are just a few of the facets of the foreign exchange marketplace that make it a highly dynamic and volatile arena. This book addresses the practical applications of foreign currency trading and money market trading and provides comprehensive coverage of these markets.
Coverage includes:
* What the instruments are
* How and why they are used - by both bank dealers and corporate end-users
* How the different instruments are linked one to another
* How you price them
* Structure of the market, EMU etc
* The range of risks arising from dealings in these instruments that affect banks and corporates
* How these risks are measured and managed
* Brings together a range of practical, relevant material on Foreign Exchange and money market trading.
* Focuses on trading situations as well as on calculations
* International in coverage, the concepts and methods covered are not restricted to any country or institution

About the Authorp. xi
Note from the Authorp. xiii
Introductionp. 1
Some Basic Conceptsp. 3
Currency codesp. 3
Hedging, speculation and arbitragep. 3
Spot, forward, value dates and short datesp. 4
Some basic terminologyp. 6
Essential Financial Arithmeticp. 8
Percentagesp. 8
Simple interest calculationsp. 8
The different day/year conventionsp. 9
Present valuep. 13
Calculating the yield on an investment or the cost of a borrowingp. 14
Compounding two or more interest rates together (a strip)p. 16
Interpolationp. 17
Paying interest with different frequenciesp. 18
Exercisesp. 21
Money Marketsp. 23
Overview of Money Market Instrumentsp. 25
Introductionp. 25
The yield curvep. 26
Some more terminologyp. 28
Money market instrumentsp. 31
Deposits and Coupon-Bearing Instrumentsp. 36
Fixed depositsp. 36
Taking a positionp. 37
The price of a CDp. 39
Money market yield of a bond in its last coupon periodp. 43
Breaking a fixed depositp. 44
CDs paying more than one couponp. 46
Exercisesp. 48
Discount Instrumentsp. 50
Discount instrumentsp. 50
Discount/true yieldp. 52
Bond-equivalent yields for US Treasury billsp. 56
Effective rates and Norwegian Treasury billsp. 57
Exercisesp. 58
Forward Interest Rates, FRAs and Introduction to Futuresp. 60
Overviewp. 60
Pricing a forward-forwardp. 61
Forward rate agreement (FRA)p. 63
Introduction to futuresp. 68
Futures compared with FRAsp. 75
The yield curvep. 76
Applications of FRAs and futuresp. 77
Exercisesp. 89
Foreign Exchangep. 91
Spot Foreign Exchangep. 93
Introductionp. 93
How spot rates are quotedp. 94
Position-keepingp. 99
Reciprocal ratesp. 101
Cross-rate calculationsp. 101
The market environmentp. 105
Exercisesp. 105
Forward Outrights and Swapsp. 107
Forward outrightsp. 107
Forward swapsp. 111
Short datesp. 123
Forward-forwardsp. 127
Calculation summaryp. 131
Cross-rate calculationsp. 133
Non-deliverable forwards (NDFs)p. 136
Time optionsp. 138
Long-dated forwardsp. 139
Synthetic agreements for forward exchange (SAFEs)p. 141
Summary of uses of forward FX instrumentsp. 144
Exercisesp. 145
Hedging Swaps with Deposits, FRAs and Futures, Covered Interest Arbitrage and Creating Synthetic FRAsp. 149
Hedging FX forwards using borrowings and depositsp. 150
Hedging FX forward-forwards with FRAs or futuresp. 155
Covered interest arbitragep. 161
Creating an FRA in one currency from an FRA in another currencyp. 168
Exercisesp. 171
Managing the Spot Risk on a Forward Fx Positionp. 173
Hedging a forward swap positionp. 173
Measuring the spot risk on a forward outright positionp. 179
Exercisep. 181
Currency Relationshipsp. 182
Overviewp. 182
Exchange rate regimesp. 183
European Monetary Unionp. 185
Analysing currency movementsp. 188
Risk Managementp. 193
Bank Risk Managementp. 195
Overviewp. 195
Market riskp. 195
Credit riskp. 201
Operational riskp. 207
Other risksp. 209
Value at risk (VaR)p. 211
Capital adequacy requirementsp. 224
Corporate Risk Managementp. 230
Analysis of risksp. 230
Establishing a policyp. 236
Forecasts, hedging decisions and targetsp. 242
Currency exposure reportingp. 246
Evaluating the success of treasury managementp. 248
Exercisesp. 249
Answers to Exercisesp. 251
A summary of money market day/year conventionsp. 271
A summary of calculation proceduresp. 273
Swift currency codesp. 284
Glossaryp. 291
Indexp. 323
Table of Contents provided by Syndetics. All Rights Reserved.

ISBN: 9780750650250
ISBN-10: 0750650257
Series: Securities Institute Global Capital Markets
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 352
Published: 25th March 2002
Country of Publication: GB
Dimensions (cm): 23.93 x 17.02  x 2.64
Weight (kg): 0.73

Earn 568 Qantas Points
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