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A short course of lectures
«Treasury Finance and Development Banking»





Different Quotations and Different CurrenciesPrepayment Option and the Case of Development InstitutionsCurve ConstructionAPPENDIX D The Relation between Macaulay and Modified DurationsYieldBuilding ProxiesCASE STUDIES OF DEVELOPMENT PROJECTSA FEW FUNDAMENTAL CONCEPTS OF THE BOND WORLDFUNDING LEVEL TARGETSEXPRESSING CREDIT EXPLICITLY WHEN PRICING A BONDParThe Case of Missing MaturitiesTHE INSTRUMENTS AVAILABLE FOR CURVE CONSTRUCTIONBasis SwapsThe Special Case of AAA-Rated InstitutionsInvestingNumerical Example: Estimating Refinancing RiskNUMERICAL EXAMPLE: CALCULATING THE FAIR VALUE UF A LOANA REPRESENTATION OF THE CAPITAL FLOW IN A FINANCIAL INSTITUTIONTHE MAIN ISSUES WITH EMERGING MARKETSInterpolation and ExtrapolationTHE DEFINITIORI OF EMERGING MARKETSSimilar CountriesCredit RiskMaturityI.2 FUNDING ISSUES AS CREDIT AND PRICING ISSUESI.3 TREASURY FINANCE AND DEVELOPMENT BANKINGLendingDifferent Funding Levels for Different Types of DebtInterest Rate and FX RiskOvernight Index SwapsHazard Rates and a Spread-Based Modeling of CreditBORROWINGInterest Rate Futures and Forward Rate AgreementsDevelopment of Textile Exports in YConstructing a CDS-Implied Credit Framework for Bond PricingCredit and the Fair Valuing of LoansUSING MULTIPLE INSTRUMENTS TO BUILD A CURVECapital ControlAPPENDIX F Replication Leading to Risk-Neutral ProbabilitiesThe Objective of Even-Smaller Funding LevelsI.4 THE STRUCTURE OF THE ROOKLENDINGCase Study: The Default of GreeceA BRIEF OVERVIEW OF CREDIT MODELINGPricing at RecoveryThe Different Types of Development InstitutionsFunding Gap RiskAn Introductory View to Banking, Development Banking, and TreasuryStatic and Dynamic HedgingTHE FUNDAMENTAL DIFFERENCES DETWEEN INVESTMENT RANKING AND DEVELOPMENT RANKINGWHAT IS A BOND?The Impact of Discounting on Asset Swap LevelsClearing, the Evolution of a Price, and the Impact of DiscountingBorrowingCREDIT AS AN ASSET CLASSWHAT DO WE MEAN BY CURVE CONSTRUCTION?NUMERICAL EXAMPLE: ESTIMATING THE COUPON OF AN EMERGING MARKET DEBT INSTRUMENTThe Argument around the Fair Valuing of LoansFUNDING AS AIM ASSET SWAP STRUCTUREThe Short End of the Curve: Deposits and FRAsInterest Rate SwapsCollateral in a Foreign CurrencyLocking an Interest Rate PositionNumerical Example: Estimating Reset RiskILLIQUID BONDSBorrowingPrivate and Public SidesTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF AN INTEREST RATE CURVEThe Case of Constant Funding LevelSales and Trading DesksEMERGING MARKETS AND DEVELOPMENT RANKINGINVESTING AND ALMHedging a Foreign Currency Bond or LoanThe Bootstrapping of a Hazard Rate CurveCreditAPPENDIX C Modeling the Credit-Driven Prepayment Option of a LoanThe Long End of the Curve: Interest Rate SwapsNUMERICAL EXAMPLE: BOOTSTRAPPING AN INTEREST RATE CURVESimilar CompaniesAsset SwapsThe Structure of a Development BankCase Study: A Note on the LIBOR ScandalRefinancing RiskCross Currency Basis SwapsEmerging Markets and LiquidityBENCHMARKS FOR BORROWING ANR INVESTINGTreasury RevisitedRural Development in XThe Case of Funding Level Lower Than ExpectedThe Case of Quasi Government EntitiesReset RiskRisk and Asset Liability ManagementAPPENDIX E The Impact of Discounting on an Asset Swap SpreadHEDGINGTHE ISSUE OF LEVERAGEDiscount Bonds and Cash DepositsThe Unhedgeable Nature of the Discount Spread ФTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF A HAZARD RATE CORVEHedging a Fixed or Structured BondTenor Basis SwapsMANAGING RISK RELATED TO FINANCIAL ORSERVARLESFX ForwardsThe Case of Funding Level Higher Than ExpectedHedging an Equity PositionAPPENDIX A Implying Zero Rates from FX Forward QuotesDiscounting in the Presence of CollateralHedging a Credit-Linked Instrument Such as an Asset-Backed SecurityFUNDING RISKAPPENDIX B CDS Spreads and Default ProbabilitiesBond PricingBenchmarks and z-SpreadsValuation in the Absence of Dynamic HedgingAsset Swaps RevisitedThe UnderlyingsCredit Default SwapsHedging a Fixed-Rate LoanLiquidityTHE BASIC STRUCTURE OF A TRADITIONAL FINANCIAL INSTITUTIONDEVELOPMENT BANKINGThe Evolution of the Perception of Counterparty Credit RiskDurationFAIR VALUE OF LOANS AND THE SPECIAL CASE OF DEVELOPMENT INSTITUTIONSCOLLATERALIZED CURVE CONSTRUCTIONThe Treasury DeskRisk Neutrality and the Meaning of HedgingAcknowledgmentsAbout the Web Site
 
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