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Omega


Total Posts: 436
Joined: Jul 2006
 
Posted: 2019-07-24 19:43
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...

Kitno


Total Posts: 392
Joined: Mar 2005
 
Posted: 2019-07-24 23:39
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.

"Yeh, after that blow out I bid the bonds at 76 and you hit man...You're 77/81 now? Cool man...What? Do I care at 80? No mate... I'm 73 bid now...I'm sure you didn't just load up just for me...".

nikol


Total Posts: 769
Joined: Jun 2005
 
Posted: 2019-08-15 11:09
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.

zee4


Total Posts: 65
Joined: May 2010
 
Posted: 2019-09-01 02:14
Somebody suggested this book: https://www.amazon.com/Credit-Risk-Modelling-Theoretical-Foundations-Diagnostic/dp/3319946870

Have not read it personally, but its content seems good.

Also check out his another book on Fixed Income Analytics: https://www.amazon.com/gp/product/B00T40HAX2/ref=dbs_a_def_rwt_bibl_vppi_i1

Бухарский

stupidblogger


Total Posts: 1
Joined: Sep 2019
 
Posted: 2019-09-03 08:30
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Kitno


Total Posts: 392
Joined: Mar 2005
 
Posted: 2019-09-10 22:18
This is an interesting post.

I took it to be the way I start with all JUBs: the price of a bond is what someone will pay due to their confidence on repayment/coupons vs recovery then you back out yield.

Nikol took the theoretical credit approach (kudos, no dig).

What did you want Omega?

"Yeh, after that blow out I bid the bonds at 76 and you hit man...You're 77/81 now? Cool man...What? Do I care at 80? No mate... I'm 73 bid now...I'm sure you didn't just load up just for me...".
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