Оглавление
Baker Robert P.. The Trade Lifecycle
Foreword from the First Edition
Why this book?
Foreword to the Second Edition
Preface
Acknowledgements
About the Author
Part One. Products and the Background to Trading
Chapter 1. Trading
1.1 How and why do people trade?
1.2 Factors affecting trade
1.3 Market participants
1.4 Means by which trades are transacted
1.5 When is a trade live?
1.6 Consequences of trading
1.7 Trading in the financial services industry
1.8 What do we mean by a trade?
1.9 Who works on the trade and when?
1.10 Summary
Chapter 2. Risk
2.1 The concept of risk
2.2 Risk is inevitable
2.3 Quantifying risk
2.4 Methods of dealing with risk
2.5 Managing risk
2.6 Problems of unforeseen risk
2.7 Summary
Chapter 3. Understanding Traded Products – Follow the Money
3.1 Spot trades
3.2 Future (forward)
3.3 Loan
3.4 Deposit
3.5 Swap
3.6 Foreign exchange swap
3.7 Equity spot
3.8 Bond spot
3.9 Option
3.10 Credit default swap
3.11 Summary
Chapter 4. Asset Classes
4.1 Interest rates
4.2 Foreign exchange (Forex or FX)
4.3 Equity
4.4 Bonds and credit
4.5 Commodities
4.6 Trading across asset classes
4.7 Summary
Chapter 5. Derivatives, Structures and Hybrids
5.1 Linear
5.2 Nonlinear
5.3 Some option terminology
5.4 Option valuation
5.5 Exotic options
5.6 Structures and hybrids
5.7 Importance of simpler products
5.8 Trade matrix
5.9 Summary
Chapter 6. Liquidity, Price and Leverage
6.1 Liquidity
6.2 Price
6.3 Leverage
6.4 Summary
Part Two. The Trade Lifecycle
Chapter 7. Anatomy of a Trade
7.1 The underlying
7.2 General
7.3 Economic
7.4 Sales
7.5 Legal
7.6 Booking
7.7 Counterparty
7.8 Timeline
7.9 Summary
Chapter 8. Trade Lifecycle
8.1 Pre execution
8.2 Execution and booking
8.3 Confirmation
8.4 Post booking
8.5 Settlement
8.6 What happens overnight
8.7 Changes during lifetime
8.8 Reporting during lifetime
8.9 Exercise
8.10 Maturity
8.11 Example trade
8.12 Summary
Chapter 9. Cashflows and Asset Holdings
9.1 Holdings
9.2 Value of holding
9.3 Reconciliation
9.4 Consolidated reporting
9.5 Realised and unrealised P&L
9.6 Diversification
9.7 Bank within a bank
9.8 Custody of securities
9.9 Risks
9.10 Summary
Chapter 10. Risk Management
10.1 Traders
10.2 Risk control
10.3 Trading management
10.4 Senior management
10.5 How do risks arise?
10.6 Different reasons for trades
10.7 Hedging
10.8 What happens when the trader is not around?
10.9 Types of risk
10.10 Trading strategies
10.11 Hedging strategies
10.12 Summary
Chapter 11. Market Risk Control
11.1 Various methodologies
11.2 Need for risk
11.3 Allocation of risk
11.4 Monitoring of market risk
11.5 Controlling the risk
11.6 Responsibilities of the market risk control department
11.7 Limitations of market risk departments
11.8 Regulatory requirements
11.9 Summary
Chapter 12. Counterparty Risk Control
12.1 Reasons for non-fulfilment of obligations
12.2 Consequences of counterparty default
12.3 Counterparty risk over time
12.4 How to measure the risk
12.5 Imposing limits
12.6 Who is the counterparty?
12.7 Collateral
12.8 Activities of the counterparty risk control department
12.9 What are the risks involved in analysing credit risk?
12.10 Payment systems6
12.11 Summary
Chapter 13. Accounting
13.1 Balance sheet
13.2 Profit and loss account
13.3 Financial reports for hedge funds and asset managers
13.4 Summary
Chapter 14. P&L Attribution
14.1 Benefits
14.2 The process
14.3 Example
14.4 Summary
Chapter 15. People
15.1 Revenue generation
15.2 Activities that support revenue generation
15.3 Control
15.4 Summary
Chapter 16. Regulation
16.1 Purpose of regulation
16.2 What regulators require
16.3 The problems
16.4 Risk-weighted assets
16.5 Credit valuation adjustment (CVA)
16.6 Summary
Part Three. What Really Happens
Chapter 17. Insights into the Real World of Capital Markets – Here be Dragons!
17.1 How it used to be
17.2 Clash of cultures
17.3 The equality of money
17.4 The politics of money
17.5 The good
17.6 The bad
17.7 The ugly
17.8 Where are we heading?
17.9 Summary
Chapter 18. Case Studies
18.1 Case study 1 – Bonds
18.2 Case study 2 – Front office foreign exchange
18.3 Case study 3 – Equity confirmations project
18.4 Summary
Chapter 19. The IT Divide
19.1 What is the IT divide?
19.2 What problems does it cause?
19.3 IT in the middle
19.4 Improper use of IT
19.5 Organisational blockers
19.6 IT blockers
19.7 How to bridge the gap
19.8 Keeping up with change
19.9 What does the business want from IT?
19.10 What IT wants from the business
19.11 Particular challenges of the financial sector
19.12 Example of a good project
19.13 Example of a bad project
19.14 Summary
Chapter 20. The Role of the Quantitative Analyst
20.1 What is a quant?
20.2 Where do quants work?
20.3 Tools of the trade
20.4 Place in organisation
20.5 Where should quants sit?
20.6 The boundaries of Quantland
20.7 What does IT think of quants?
20.8 Different types of quants
20.9 Getting the job done
20.10 Summary
Part Four. Behind the Scenes
Chapter 21. Developing Processes for New Products (and Improving Processes for Existing Products)
21.1 What is a process?
21.2 The status quo
21.3 How processes evolve
21.4 Inventory of current systems
21.5 Coping with change
21.6 Improving the situation
21.7 Inertia
21.8 Summary
Chapter 22. New Products
22.1 Origin of new products
22.2 Trial basis
22.3 New trade checklist
22.4 New product evolution
22.5 Risks
22.6 Summary
Chapter 23. Testing
23.1 What is testing?
23.2 Why is testing important?
23.3 Who does testing?
23.4 When should testing be done?
23.5 What are the types of testing?
23.6 Fault logging
23.7 Risks
23.8 Summary
Chapter 24. Data
24.1 Common characteristics
24.2 Database
24.3 Data
24.4 Bid/offer spread
24.5 Curves and surfaces
24.6 Market data
24.7 Back testing
24.8 How can data go wrong?
24.9 Typical data sources
24.10 How to cope with corrections to data
24.11 Data integrity
24.12 The business risks of data
24.13 Summary
Chapter 25. Reports
25.1 What makes a good report?
25.2 Reporting requirements
25.3 When things go wrong
25.4 Redundancy
25.5 Control
25.6 Enhancement
25.7 Security
25.8 Risks
25.9 Summary
Chapter 26. Calculation
26.1 What does the calculation process actually do?
26.2 The calculation itself
26.3 Sensitivity analysis
26.4 Bootstrapping
26.5 Calculation of dates
26.6 Calibration to market
26.7 Testing
26.8 Integrating a model within a full system
26.9 Risks associated with the valuation process
26.10 Summary
Part Five. Summary of Risks
Unforeseen Risk
Appendix A. Operational Risks
Confirmation
Settlement
Payment systems
Straight through processing (STP)
Provisional trades
Appendix B. Human Risks
Too much knowledge in one person
Not enough knowledge
Wrong people
Not enough investment in people
Reliance on short-term planning
Conflicts and tensions
Trading versus control functions
Communication
Panic
Appendix C. Control Risks
Market risk control
Counterparty risk control
Appendix D. Processing Risks
Cashflow risks
Data risks
Reporting risks
Testing risks
Appendix E. Organisational Risks
Business continuity planning (BCP) risks
Valuation and model approval risks
Management risks
Documentation risks
Front office risks
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