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Produktbild: The Trade Lifecycle

The Trade Lifecycle Behind the Scenes of the Trading Process

Aus der Reihe Wiley Finance Series

81,99 €

inkl. MwSt, Versandkostenfrei

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

05.10.2015

Verlag

John Wiley & Sons Inc

Seitenzahl

416

Maße (L/B/H)

25/17,5/2,7 cm

Gewicht

862 g

Auflage

2. Auflage

Sprache

Englisch

ISBN

978-1-118-99946-2

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

05.10.2015

Verlag

John Wiley & Sons Inc

Seitenzahl

416

Maße (L/B/H)

25/17,5/2,7 cm

Gewicht

862 g

Auflage

2. Auflage

Sprache

Englisch

ISBN

978-1-118-99946-2

Herstelleradresse

Produktsicherheitsverantwortliche/r
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: The Trade Lifecycle

  • Foreword from the First Edition xvii

    Foreword to the Second Edition xix

    Preface xxi

    Acknowledgements xxiii

    About the Author xxv

    PART ONE Products and the Background to Trading

    CHAPTER 1 Trading 3

    1.1 How and why do people trade? 3

    1.2 Factors affecting trade 3

    1.3 Market participants 4

    1.4 Means by which trades are transacted 5

    1.5 When is a trade live? 7

    1.6 Consequences of trading 7

    1.7 Trading in the financial services industry 8

    1.8 What do we mean by a trade? 10

    1.9 Who works on the trade and when? 11

    1.10 Summary 12

    CHAPTER 2 Risk 13

    2.1 The concept of risk 13

    2.2 Risk is inevitable 13

    2.3 Quantifying risk 14

    2.4 Methods of dealing with risk 15

    2.5 Managing risk 15

    2.6 Problems of unforeseen risk 16

    2.7 Summary 16

    CHAPTER 3 Understanding Traded Products - Follow the Money 17

    3.1 Spot trades 18

    3.2 Future (forward) 20

    3.3 Loan 21

    3.4 Deposit 23

    3.5 Swap 23

    3.6 Foreign exchange swap 25

    3.7 Equity spot 26

    3.8 Bond spot 27

    3.9 Option 27

    3.10 Credit default swap 30

    3.11 Summary 31

    CHAPTER 4 Asset Classes 33

    4.1 Interest rates 33

    4.2 Foreign exchange (Forex or FX) 40

    4.3 Equity 44

    4.4 Bonds and credit 46

    4.5 Commodities 53

    4.6 Trading across asset classes 58

    4.7 Summary 59

    CHAPTER 5 Derivatives, Structures and Hybrids 61

    5.1 Linear 61

    5.2 Nonlinear 62

    5.3 Some option terminology 66

    5.4 Option valuation 67

    5.5 Exotic options 67

    5.6 Structures and hybrids 69

    5.7 Importance of simpler products 70

    5.8 Trade matrix 71

    5.9 Summary 72

    CHAPTER 6 Liquidity, Price and Leverage 73

    6.1 Liquidity 73

    6.2 Price 75

    6.3 Leverage 76

    6.4 Summary 79

    PART TWO The Trade Lifecycle

    CHAPTER 7 Anatomy of a Trade 83

    7.1 The underlying 83

    7.2 General 83

    7.3 Economic 84

    7.4 Sales 84

    7.5 Legal 84

    7.6 Booking 85

    7.7 Counterparty 85

    7.8 Timeline 86

    7.9 Summary 87

    CHAPTER 8 Trade Lifecycle 89

    8.1 Pre execution 89

    8.2 Execution and booking 91

    8.3 Confirmation 94

    8.4 Post booking 96

    8.5 Settlement 97

    8.6 What happens overnight 101

    8.7 Changes during lifetime 105

    8.8 Reporting during lifetime 110

    8.9 Exercise 110

    8.10 Maturity 112

    8.11 Example trade 113

    8.12 Summary 115

    CHAPTER 9 Cashflows and Asset Holdings 117

    9.1 Holdings 119

    9.2 Value of holding 120

    9.3 Reconciliation 121

    9.4 Consolidated reporting 122

    9.5 Realised and unrealised P&L 122

    9.6 Diversification 122

    9.7 Bank within a bank 123

    9.8 Custody of securities 123

    9.9 Risks 124

    9.10 Summary 124

    CHAPTER 10 Risk Management 125

    10.1 Traders 125

    10.2 Risk control 126

    10.3 Trading management 126

    10.4 Senior management 126

    10.5 How do risks arise? 126

    10.6 Different reasons for trades 128

    10.7 Hedging 128

    10.8 What happens when the trader is not around? 128

    10.9 Types of risk 130

    10.10 Trading strategies 132

    10.11 Hedging strategies 133

    10.12 Summary 134

    CHAPTER 11 Market Risk Control 135

    11.1 Various methodologies 135

    11.2 Need for risk 139

    11.3 Allocation of risk 139

    11.4 Monitoring of market risk 140

    11.5 Controlling the risk 140

    11.6 Responsibilities of the market risk control department 141

    11.7 Limitations of market risk departments 142

    11.8 Regulatory requirements 143

    11.9 Summary 145

    CHAPTER 12 Counterparty Risk Control 147

    12.1 Reasons for non-fulfilment of obligations 147

    12.2 Consequences of counterparty default 148

    12.3 Counterparty risk over time 148

    12.4 How to measure the risk 149

    12.5 Imposing limits 152

    12.6 Who is the counterparty? 153

    12.7 Collateral 153

    12.8 Activities of the counterparty risk control department 154

    12.9 What are the risks involved in analysing credit risk? 157

    12.10 Payment systems 158

    12.11 Summary 160

    CHAPTER 13 Accounting 161

    13.1 Balance sheet 161

    13.2 Profit and loss account 164

    13.3 Financial reports for hedge funds and asset managers 168

    13.4 Summary 169

    CHAPTER 14 P&L Attribution 171

    14.1 Benefits 171

    14.2 The process 172

    14.3 Example 173

    14.4 Summary 176

    CHAPTER 15 People 177

    15.1 Revenue generation 177

    15.2 Activities that support revenue generation 179

    15.3 Control 189

    15.4 Summary 200

    CHAPTER 16 Regulation 201

    16.1 Purpose of regulation 201

    16.2 What regulators require 202

    16.3 The problems 204

    16.4 Risk-weighted assets 205

    16.5 Credit valuation adjustment (CVA) 207

    16.6 Summary 213

    PART THREE What Really Happens

    CHAPTER 17 Insights into the Real World of Capital Markets - Here be Dragons! 217

    17.1 How it used to be 217

    17.2 Clash of cultures 219

    17.3 The equality of money 219

    17.4 The politics of money 220

    17.5 The good 222

    17.6 The bad 222

    17.7 The ugly 223

    17.8 Where are we heading? 223

    17.9 Summary 224

    CHAPTER 18 Case Studies 225

    18.1 Case study 1 - Bonds 225

    18.2 Case study 2 - Front office foreign exchange 235

    18.3 Case study 3 - Equity confirmations project 247

    18.4 Summary 252

    CHAPTER 19 The IT Divide 253

    19.1 What is the IT divide? 253

    19.2 What problems does it cause? 255

    19.3 IT in the middle 255

    19.4 Improper use of IT 256

    19.5 Organisational blockers 257

    19.6 IT blockers 258

    19.7 How to bridge the gap 259

    19.8 Keeping up with change 260

    19.9 What does the business want from IT? 261

    19.10 What IT wants from the business 263

    19.11 Particular challenges of the financial sector 264

    19.12 Example of a good project 265

    19.13 Example of a bad project 266

    19.14 Summary 266

    CHAPTER 20 The Role of the Quantitative Analyst 267

    20.1 What is a quant? 267

    20.2 Where do quants work? 267

    20.3 Tools of the trade 269

    20.4 Place in organisation 270

    20.5 Where should quants sit? 270

    20.6 The boundaries of Quantland 271

    20.7 What does IT think of quants? 273

    20.8 Different types of quants 274

    20.9 Getting the job done 275

    20.10 Summary 275

    PART FOUR Behind the Scenes

    CHAPTER 21 Developing Processes for New Products (and Improving Processes for Existing Products) 279

    21.1 What is a process? 279

    21.2 The status quo 279

    21.3 How processes evolve 280

    21.4 Inventory of current systems 282

    21.5 Coping with change 284

    21.6 Improving the situation 284

    21.7 Inertia 287

    21.8 Summary 288

    CHAPTER 22 New Products 289

    22.1 Origin of new products 289

    22.2 Trial basis 290

    22.3 New trade checklist 292

    22.4 New product evolution 294

    22.5 Risks 294

    22.6 Summary 295

    CHAPTER 23 Testing 297

    23.1 What is testing? 297

    23.2 Why is testing important? 298

    23.3 Who does testing? 298

    23.4 When should testing be done? 299

    23.5 What are the types of testing? 300

    23.6 Fault logging 302

    23.7 Risks 304

    23.8 Summary 305

    CHAPTER 24 Data 307

    24.1 Common characteristics 307

    24.2 Database 308

    24.3 Data 308

    24.4 Bid/offer spread 310

    24.5 Curves and surfaces 310

    24.6 Market data 313

    24.7 Back testing 317

    24.8 How can data go wrong? 317

    24.9 Typical data sources 320

    24.10 How to cope with corrections to data 321

    24.11 Data integrity 322

    24.12 The business risks of data 324

    24.13 Summary 325

    CHAPTER 25 Reports 327

    25.1 What makes a good report? 327

    25.2 Reporting requirements 328

    25.3 When things go wrong 333

    25.4 Redundancy 334

    25.5 Control 335

    25.6 Enhancement 335

    25.7 Security 335

    25.8 Risks 335

    25.9 Summary 336

    CHAPTER 26 Calculation 337

    26.1 What does the calculation process actually do? 337

    26.2 The calculation itself 343

    26.3 Sensitivity analysis 347

    26.4 Bootstrapping 348

    26.5 Calculation of dates 349

    26.6 Calibration to market 351

    26.7 Testing 351

    26.8 Integrating a model within a full system 352

    26.9 Risks associated with the valuation process 352

    26.10 Summary 352

    PART FIVE Summary of Risks

    APPENDIX A Operational Risks 355

    APPENDIX B Human Risks 359

    APPENDIX C Control Risks 363

    APPENDIX D Processing Risks 367

    APPENDIX E Organisational Risks 373

    Recommended Reading 377

    Index 379