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Treasury Finance and Development Banking





AcknowledgmentsI.1 TREASURY, FUNDING, AND THE REASDNS REHIND THIS BOOKI.2 FUNDING ISSUES AS CREDIT AND PRICING ISSUESI.3 TREASURY FINANCE AND DEVELOPMENT BANKINGI.4 THE STRUCTURE OF THE ROOKAn Introductory View to Banking, Development Banking, and TreasuryA REPRESENTATION OF THE CAPITAL FLOW IN A FINANCIAL INSTITUTIONLENDINGBORROWINGINVESTING AND ALMTHE BASIC STRUCTURE OF A TRADITIONAL FINANCIAL INSTITUTIONPrivate and Public SidesSales and Trading DesksThe Treasury DeskDEVELOPMENT BANKINGThe Different Types of Development InstitutionsThe Structure of a Development BankCurve ConstructionWHAT DO WE MEAN BY CURVE CONSTRUCTION?THE INSTRUMENTS AVAILABLE FOR CURVE CONSTRUCTIONDiscount Bonds and Cash DepositsInterest Rate Futures and Forward Rate AgreementsFX ForwardsInterest Rate SwapsBasis SwapsTenor Basis SwapsCross Currency Basis SwapsUSING MULTIPLE INSTRUMENTS TO BUILD A CURVECOLLATERALIZED CURVE CONSTRUCTIONThe Evolution of the Perception of Counterparty Credit RiskOvernight Index SwapsDiscounting in the Presence of CollateralCollateral in a Foreign CurrencyClearing, the Evolution of a Price, and the Impact of DiscountingThe Special Case of AAA-Rated InstitutionsNUMERICAL EXAMPLE: BOOTSTRAPPING AN INTEREST RATE CURVEThe Short End of the Curve: Deposits and FRAsThe Long End of the Curve: Interest Rate SwapsInterpolation and ExtrapolationCredit and the Fair Valuing of LoansCREDIT AS AN ASSET CLASSThe UnderlyingsCredit Default SwapsA BRIEF OVERVIEW OF CREDIT MODELINGHazard Rates and a Spread-Based Modeling of CreditThe Bootstrapping of a Hazard Rate CurveDifferent Quotations and Different CurrenciesFAIR VALUE OF LOANS AND THE SPECIAL CASE OF DEVELOPMENT INSTITUTIONSThe Argument around the Fair Valuing of LoansPrepayment Option and the Case of Development InstitutionsNUMERICAL EXAMPLE: CALCULATING THE FAIR VALUE UF A LOANEmerging Markets and LiquidityTHE DEFINITIORI OF EMERGING MARKETSTHE MAIN ISSUES WITH EMERGING MARKETSLiquidityMaturityCreditCapital ControlEMERGING MARKETS AND DEVELOPMENT RANKINGBorrowingLendingCASE STUDIES OF DEVELOPMENT PROJECTSRural Development in XDevelopment of Textile Exports in YBond PricingWHAT IS A BOND?A FEW FUNDAMENTAL CONCEPTS OF THE BOND WORLDParYieldDurationEXPRESSING CREDIT EXPLICITLY WHEN PRICING A BONDBenchmarks and z-SpreadsAsset SwapsConstructing a CDS-Implied Credit Framework for Bond PricingILLIQUID BONDSPricing at RecoveryCase Study: The Default of GreeceBuilding ProxiesThe Case of Missing MaturitiesThe Case of Quasi Government EntitiesSimilar CountriesSimilar CompaniesNUMERICAL EXAMPLE: ESTIMATING THE COUPON OF AN EMERGING MARKET DEBT INSTRUMENTTreasury RevisitedFUNDING AS AIM ASSET SWAP STRUCTUREAsset Swaps RevisitedThe Impact of Discounting on Asset Swap LevelsFUNDING LEVEL TARGETSThe Objective of Even-Smaller Funding LevelsDifferent Funding Levels for Different Types of DebtTHE FUNDAMENTAL DIFFERENCES DETWEEN INVESTMENT RANKING AND DEVELOPMENT RANKINGBENCHMARKS FOR BORROWING ANR INVESTINGBorrowingInvestingCase Study: A Note on the LIBOR ScandalRisk and Asset Liability ManagementTHE ISSUE OF LEVERAGEHEDGINGRisk Neutrality and the Meaning of HedgingStatic and Dynamic HedgingValuation in the Absence of Dynamic HedgingMANAGING RISK RELATED TO FINANCIAL ORSERVARLESInterest Rate and FX RiskHedging a Fixed or Structured BondThe Unhedgeable Nature of the Discount Spread ФHedging a Fixed-Rate LoanHedging a Foreign Currency Bond or LoanHedging a Credit-Linked Instrument Such as an Asset-Backed SecurityHedging an Equity PositionLocking an Interest Rate PositionCredit RiskFUNDING RISKFunding Gap RiskRefinancing RiskThe Case of Constant Funding LevelThe Case of Funding Level Lower Than ExpectedThe Case of Funding Level Higher Than ExpectedNumerical Example: Estimating Refinancing RiskReset RiskNumerical Example: Estimating Reset RiskCREDIT IS EVERYWHERETHE FUNDAMENTAL STEPS TO BORROWING, LENDING, AND INVESTING: A SUMMARYAPPENDIX A Implying Zero Rates from FX Forward QuotesAPPENDIX B CDS Spreads and Default ProbabilitiesAPPENDIX C Modeling the Credit-Driven Prepayment Option of a LoanAPPENDIX D The Relation between Macaulay and Modified DurationsAPPENDIX E The Impact of Discounting on an Asset Swap SpreadAPPENDIX F Replication Leading to Risk-Neutral ProbabilitiesAbout the Web SiteTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF AN INTEREST RATE CURVETHE IMPLEMENTATION OF THE BOOTSTRAPPING OF A HAZARD RATE CORVE
 
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