From the Inside Flap
Completely updated and expanded, the second edition of Analysing and Interpreting the Yield Curve is an accessible guide to the yield curve, the cornerstone of finance and a key indicator of the global capital markets. Understanding the curve, what drives it and where it's likely to go are critical information pointers for all market participants.
The book offers complete coverage of the latest developments including the multicurrency curve, CSA, OIS and 3-curve models, plus a look at negative interest rates and an application of theoretical versus observed market curve relative value trading. Analysts will also appreciate an accessible demonstration of best-practice curve interpolation techniques.
From the Back Cover
Praise for Analysing and Interpreting the Yield Curve
"Analysing and modeling the yield curve are key issues for anyone involved in fixed income, including investors, fund managers and risk managers in banks and insurance firms. However, mastering interest rates is challenging, as the last decades have seen the development of a profusion of theoretical models and approaches. The value of Professor Choudhry's text is that it provides in a unique, gradual and intuitive manner, all key insights in concepts and techniques needed by practitioners to understand the yield curve."
—Joel Bessis, Professor of Finance, HEC Paris
"A true masterpiece! Moorad Choudhry has managed to produce a very complete and balanced book on interest rates, which are key to developing a comprehensive banking ALM system for practitioners and researchers alike, especially for all of us in the field of FTP design."
—Antonio Mota Pizarro, Director Financiero en Globalcaja, Madrid
"As worthy of our interest and study now as it was when the first edition was published All Those Years Ago. Bravo, Brother Moorad!"
—Mohamoud Dualeh, Head of Product Development, Alizz Islamic Bank, Muscat
"Moorad Choudhry is an experienced and expert market practitioner who provides a splendid combination of theory and practice on this topic. Analysing and Interpreting the Yield Curve, in its second edition, is an indispensable guide for professionals and students alike."
—Rafael Hurtado, Market, Liquidity and ALM Risk Manager, Banco de Crédito del Perú, Lima
"A superb book for market participants to understand the complexities and latest techniques required to dissect the yield curve, from an author who is a recognised expert banking practitioner. Written in his usual easy-to-read style, this book is essential for both the fund manager and the academic."
—Stuart Turner, EMEA Head of Clearing Collateral Management, Société Générale, London