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Fixed Income Relative Value Analysis - a Practitioner's Guide to the Theory, Tools, and Trades + Website
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Foreword by Henry Ritchotte Relative Value: a Practitioner's Guide vii INTRODUCTION CHAPTER 1 Relative Value 1 PART I: STATISTICAL MODELS 17 CHAPTER 2 Mean Reversion 19 CHAPTER 3 Principal Component Analysis 51 PART II: FINANCIAL MODELS 113 CHAPTER 4 Some Comments on Yield, Duration, and Convexity 115 CHAPTER 5 Bond Futures Contracts 121 CHAPTER 6 LIBOR, OIS Rates, and Repo Rates 137 CHAPTER 7 Intra-Currency Basis Swaps 153 CHAPTER 8 Theoretical Determinants of Swap Spreads 157 CHAPTER 9 Swap Spreads from an Empirical Perspective 169 CHAPTER 10 Swap Spreads as Relative Value Indicators for Government Bonds 185 CHAPTER 11 Fitted Bond Curves 193 CHAPTER 12 A Brief Comment on Interpolated Swap Spreads 207 CHAPTER 13 Cross-Currency Basis Swaps 211 CHAPTER 14 Relative Values of Bonds Denominated in Different Currencies 223 CHAPTER 15 Credit Default Swaps 245 CHAPTER 16 USD Asset Swap Spreads versus Credit Default Swaps 273 CHAPTER 17 Options 299 EPILOGUE CHAPTER 18 Relative Value in a Broader Perspective 349 Bibliography 357 Index 359

About the Author

Doug Huggins has been working in the fixed income markets in the US and Europe for 25 years. He managed the European fixed income relative value research group at Deutsche Bank in the late 90's, when the group was voted best in its class for three consecutive years by the readers of Global Investor Magazine . He joined ABN AMRO in 2001 as Global Head of Fixed Income Relative Value Research, and subsequently became the firm's Global Head of Hedge Fund Sales. In 2003, he started a proprietary trading desk at ABN, focusing on fixed income relative value opportunities. He continued a career as a relative value trader in the London offices of two global hedge funds: Citadel and Old Lane. Doug has a Ph.D. in financial economics and statistics from the University of Chicago and has focused throughout his career on developing financial and statistical models for the purpose of identifying relative value opportunities in global markets. In both Research and Trading, Doug has applied these models successfully to generate attractive risk-adjusted returns for clients and the firms for which he's traded. Doug is currently applying relative value models to the energy and agricultural markets as a managing director of Starsupply Commodity Brokers in London. Christian Schaller earned a Ph.D. in Mathematics at the University of Bonn, Germany before learning the tools of the fixed income trade in the Relative Value team at Deutsche Bank, managed by Anshu Jain. Over time, he's made a number of original contributions, particularly in the areas of principal component analysis and basis swap modeling. While responsible for Deutsche Bank's research in Tokyo, he was voted "best relative value researcher" by customers in the Greenwich survey. As Global Head of Leveraged Investment Strategy at ABN AMRO, Christian used his skill to translate mathematical theory into profitable trading positions for the firm's most demanding clients, including hedge funds, proprietary trading desks, central banks, and other financial institutions. In 2004, Christian founded Shinzenbi, a consulting firm based in Japan, advising investment banks on the development, training, and management of quantitative research teams. In early 2013, Christian and Doug created Quantitative Markets Analysis Ltd, a London-based firm helping financial organizations apply quantitative methods to identify relative value opportunities in global markets. In addition to financial software, Quantitative Markets Analysis provides consulting services, including staff training and the design and implementation of bespoke systems for pre-trade and post-trade analytics.

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