Advanced Fixed Income Analysis

Moorad Choudhry · Michele Lizzio

qer 2004 · Elsevier

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This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He introduces the latest techniques used for analysis and interpretation, including:Relative value tradingApproaches to trading and hedgingDynamic analysis of spot and forward ratesInterest rate modellingFitting the yield curveAnalysing the long bond yieldIndex-linked bond analyticsCorporate bond defaults

* Aspects of advanced analysis for experienced bond market practitioners* Complex topics described in an accessible style* Brings together a wide range of topics in one volume

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Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at KBC Financial Products, ABN Amro Hoare Govett Limited and Hambros Bank Limited. He has a PhD from Birkbeck, University of London and an MBA from Henley Business School. Moorad lives in Surrey, England.

Michele Lizzio is an Analyst in the Investment Banking division at Mediobanca in Milan (Italy). Before Mediobanca, Michele was an Analyst at Deloitte Financial Advisory, Valuation Services in Milan (Italy). He graduated cum laude in MSc Corporate Finance from the University of Brescia and began his career collaborating with Alberto Falini, Professor of Corporate Finance at University of Brescia.