David F. DeRosa
Foreign Exchange Operations
David F. DeRosa
Foreign Exchange Operations
- Gebundenes Buch
- Merkliste
- Auf die Merkliste
- Bewerten Bewerten
- Teilen
- Produkt teilen
- Produkterinnerung
- Produkterinnerung
The ultimate nuts-and-bolts guide to foreign exchange operations
The foreign exchange landscape is particularly risky since so much of the world is unregulated and takes place over the counter (off exchange). Brilliant traders and money managers who are profitable may find themselves underperforming, or worse, losing, simply because they failed to establish strong operations. In this book, David DeRosa provides industry players with everything they need for strong operational functions from all the types of trades to execution, master trading agreements, documentation, settlement, margin…mehr
Andere Kunden interessierten sich auch für
- H. Kent BakerInvestor Behavior112,99 €
- Steven P. GreinerBen Graham Was a Quant41,99 €
- Richard A. MarinGlobal Pension Crisis49,99 €
- Family Firm InsFamily Enterprise + Online Ass88,99 €
- Patrick S. CollinsRegulation of Securities76,99 €
- Stacy SchausContribution Plans61,99 €
- Zamir IqbalRisk Sharing in Finance119,99 €
-
-
-
The ultimate nuts-and-bolts guide to foreign exchange operations
The foreign exchange landscape is particularly risky since so much of the world is unregulated and takes place over the counter (off exchange). Brilliant traders and money managers who are profitable may find themselves underperforming, or worse, losing, simply because they failed to establish strong operations. In this book, David DeRosa provides industry players with everything they need for strong operational functions from all the types of trades to execution, master trading agreements, documentation, settlement, margin and collateral, and prime brokerage services.
Contains vital work flow solutions for trading in the volatile foreign exchange marketplace
Offers information for mastering the operational aspect of foreign exchange trading to help determine best partners such as prime brokers and others
Written by David DeRosa a leading foreign exchange expert who has consulted to hundreds of financial institutions
Foreign Exchange Operations helps traders mitigate risks and offers a guide to all aspects of trading operations from mastering trading agreements to margin documentation.
The foreign exchange landscape is particularly risky since so much of the world is unregulated and takes place over the counter (off exchange). Brilliant traders and money managers who are profitable may find themselves underperforming, or worse, losing, simply because they failed to establish strong operations. In this book, David DeRosa provides industry players with everything they need for strong operational functions from all the types of trades to execution, master trading agreements, documentation, settlement, margin and collateral, and prime brokerage services.
Contains vital work flow solutions for trading in the volatile foreign exchange marketplace
Offers information for mastering the operational aspect of foreign exchange trading to help determine best partners such as prime brokers and others
Written by David DeRosa a leading foreign exchange expert who has consulted to hundreds of financial institutions
Foreign Exchange Operations helps traders mitigate risks and offers a guide to all aspects of trading operations from mastering trading agreements to margin documentation.
Produktdetails
- Produktdetails
- Wiley Finance Series
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 416
- Erscheinungstermin: 18. Oktober 2013
- Englisch
- Abmessung: 235mm x 157mm x 27mm
- Gewicht: 750g
- ISBN-13: 9780470932919
- ISBN-10: 0470932910
- Artikelnr.: 38129626
- Wiley Finance Series
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 416
- Erscheinungstermin: 18. Oktober 2013
- Englisch
- Abmessung: 235mm x 157mm x 27mm
- Gewicht: 750g
- ISBN-13: 9780470932919
- ISBN-10: 0470932910
- Artikelnr.: 38129626
David F. DeRosa is President of DeRosa Research and Trading, Inc., a firm that conducts research into derivatives pricing, macroeconomics, monetary policy, and foreign exchange. He is an adjunct associate professor of finance at the Fu Foundation School of Engineering and Applied Science at Columbia University where he teaches courses in pricing models in financial engineering. David sits on the boards of several prominent hedge fund groups. He is the author of many books including Options on Foreign Exchange (Wiley), Central Banking and Monetary Policy in Emerging-Markets Nations, and In Defense of Free Capital Markets. David received his PhD in finance and economics from the Graduate School of Business of The University of Chicago, and his BA in economics from the College of The University of Chicago. Before founding DeRosa Research, he worked on Wall Street as a foreign exchange trader, hedge fund trader, and portfolio manager.
Preface xi Acknowledgments xv CHAPTER 1 Introduction to Foreign Exchange 1
Defining Money 1 Participants in the Foreign Exchange Market 2 Identifying
Currencies and Exchange Rates 4 Quotation Conventions 5 The Foreign
Exchange Market 6 Foreign Exchange Regimes 11 Exchange Rate Controls 12 The
Structure of the Foreign Exchange Market 12 Banks' Identification Codes 13
The Authorities 15 Spot Foreign Exchange Deals 17 Profit and Loss on a
Simple Trade 18 Value Dates 19 Forward Foreign Exchange and Covered
Interest Parity 20 Forward Swaps 21 Non-Deliverable Forwards 22 Summary 22
Appendix 1.1: ISO Currency Codes 23 References 34 CHAPTER 2 Options on
Foreign Exchange 35 Option Basics 35 Put-Call Parity 37 The Importance of
Option Models 39 Risk Parameters 41 The Minor Greeks 44 More on Delta 45
Portfolios of Options 50 American Exercise Models 51 Volatility 52
Important Option Strategies 55 Option Market Making 56 Non-Deliverable
Options 56 Barrier Options 58 Binary Options 65 Barrier Determination
Agency 69 Other Exotic Options 70 More on Option-Related Risks 70 Summary
72 Appendix 2.1: Further Comments on Put-Call Parity 72 Appendix 2.2:
Black-Scholes-Merton Model 74 Appendix 2.3: Barrier and Binary Options 75
References 78 CHAPTER 3 How Trades are Executed and Confirmed 81 Spot
Foreign Exchange Deals 83 Forward Outright Deals 83 Forward Swap Deals 85
Option Trades 87 How Foreign Exchange Trades are Executed 88 Concentration
in Market Making 89 Example of an Electronic Trading Platform: FXall 92
Trade Documentation Cycle 97 Internal Operations and Reports for Dealers
141 Summary 159 Appendix 3.1: Transactions at Daily Fixings 160 References
160 CHAPTER 4 Foreign Exchange Settlement 161 Settlement Instructions for
an Individual Spot Foreign Exchange Deal 161 Overview of the Settlement
Process 170 The Bretton Woods-Smithsonian Period 171 The Herstatt Legacy
172 Settlement Risk 173 Netting 176 How the Modern Settlement Systems
Developed 181 Large-Value Transfers 186 Central Bank Involvement 186
Correspondent Banking 187 Payment Systems 187 Designated-Time Net
Settlement (DTNS) 189 Real-Time Gross Settlement (RTGS) 189 Examples of
Modern Payment Systems 192 CLS Bank International 203 Internal Controls 208
Summary 209 References 209 CHAPTER 5 Master Agreements 211 Motivation 212
The Architecture 214 The FXC Master Agreement Forms 215 The ISDA Master
Agreement Forms 215 Single Agreement 217 Non-Reliance: Parties to Rely on
Their Own Expertise 219 Netting: Payment or Settlement Netting and Novation
Netting 220 Events of Default 221 Termination Events 228 Additional
Termination Events 230 Close-Out Netting 231 Safe Harbors 232 Early
Termination 233 Payments Upon Termination and Close-Out Amounts 234
Close-Out Amount: 2002 ISDA 236 Set-Off Provisions 241 Special Features for
Options: ICOM and FEOMA 241 Special Features for Non-Deliverable Forwards
242 Miscellaneous Issues 242 More on Deeds of Adherence and Schedules 245
Summary 245 Appendix 5.1: IFXCO Terms 246 Appendix 5.2: IFXCO Adherence
Agreement 275 References 281 CHAPTER 6 Margin and Collateral 283 Credit
Agreements 283 Framework for the ISDA Credit Support Deed and the FXC
Collateral Annex 285 Framework for the ISDA Credit Support Annexes 293
Enforcement Rights of the Secured Party 294 Some Additional Features
Commonly Found in Credit Support Documents 296 The Value-at-Risk Concept
297 VaR for Spot, Forward, and Vanilla Options 298 Portfolio Value-at-Risk
305 Sample Customer Credit Snapshot 310 Limitations of VaR 310 Limitations
of Collateralized Agreements 313 Summary 313 Appendix 6.1: The 1999
Collateral Annex to FEOMA, IFEMA, or ICOM Master Agreement 314 References
337 CHAPTER 7 Foreign Exchange Prime Brokerage 339 Overview of FX Prime
Brokerage 339 Pros and Cons of FX Prime Brokerage 341 Execution and
Confirmation in an FX Prime Brokerage Environment 343 The Legal
Architecture of FX Prime Brokerage 345 The FX Prime Broker and the
Executing Dealer 346 The Master FX Give-up Agreement 346 Other Elements of
the Master FX Give-up Agreement 354 The FX Prime Broker and the Designated
Party 359 The Executing Dealer and the Designated Party 366 Reverse Give-Up
Relationships 366 Summary 368 Appendix 7.1: Master FX Give-Up Agreement 369
Appendix 7.2: Compensation Agreement 384 References 388 About the Author
389 Index 391
Defining Money 1 Participants in the Foreign Exchange Market 2 Identifying
Currencies and Exchange Rates 4 Quotation Conventions 5 The Foreign
Exchange Market 6 Foreign Exchange Regimes 11 Exchange Rate Controls 12 The
Structure of the Foreign Exchange Market 12 Banks' Identification Codes 13
The Authorities 15 Spot Foreign Exchange Deals 17 Profit and Loss on a
Simple Trade 18 Value Dates 19 Forward Foreign Exchange and Covered
Interest Parity 20 Forward Swaps 21 Non-Deliverable Forwards 22 Summary 22
Appendix 1.1: ISO Currency Codes 23 References 34 CHAPTER 2 Options on
Foreign Exchange 35 Option Basics 35 Put-Call Parity 37 The Importance of
Option Models 39 Risk Parameters 41 The Minor Greeks 44 More on Delta 45
Portfolios of Options 50 American Exercise Models 51 Volatility 52
Important Option Strategies 55 Option Market Making 56 Non-Deliverable
Options 56 Barrier Options 58 Binary Options 65 Barrier Determination
Agency 69 Other Exotic Options 70 More on Option-Related Risks 70 Summary
72 Appendix 2.1: Further Comments on Put-Call Parity 72 Appendix 2.2:
Black-Scholes-Merton Model 74 Appendix 2.3: Barrier and Binary Options 75
References 78 CHAPTER 3 How Trades are Executed and Confirmed 81 Spot
Foreign Exchange Deals 83 Forward Outright Deals 83 Forward Swap Deals 85
Option Trades 87 How Foreign Exchange Trades are Executed 88 Concentration
in Market Making 89 Example of an Electronic Trading Platform: FXall 92
Trade Documentation Cycle 97 Internal Operations and Reports for Dealers
141 Summary 159 Appendix 3.1: Transactions at Daily Fixings 160 References
160 CHAPTER 4 Foreign Exchange Settlement 161 Settlement Instructions for
an Individual Spot Foreign Exchange Deal 161 Overview of the Settlement
Process 170 The Bretton Woods-Smithsonian Period 171 The Herstatt Legacy
172 Settlement Risk 173 Netting 176 How the Modern Settlement Systems
Developed 181 Large-Value Transfers 186 Central Bank Involvement 186
Correspondent Banking 187 Payment Systems 187 Designated-Time Net
Settlement (DTNS) 189 Real-Time Gross Settlement (RTGS) 189 Examples of
Modern Payment Systems 192 CLS Bank International 203 Internal Controls 208
Summary 209 References 209 CHAPTER 5 Master Agreements 211 Motivation 212
The Architecture 214 The FXC Master Agreement Forms 215 The ISDA Master
Agreement Forms 215 Single Agreement 217 Non-Reliance: Parties to Rely on
Their Own Expertise 219 Netting: Payment or Settlement Netting and Novation
Netting 220 Events of Default 221 Termination Events 228 Additional
Termination Events 230 Close-Out Netting 231 Safe Harbors 232 Early
Termination 233 Payments Upon Termination and Close-Out Amounts 234
Close-Out Amount: 2002 ISDA 236 Set-Off Provisions 241 Special Features for
Options: ICOM and FEOMA 241 Special Features for Non-Deliverable Forwards
242 Miscellaneous Issues 242 More on Deeds of Adherence and Schedules 245
Summary 245 Appendix 5.1: IFXCO Terms 246 Appendix 5.2: IFXCO Adherence
Agreement 275 References 281 CHAPTER 6 Margin and Collateral 283 Credit
Agreements 283 Framework for the ISDA Credit Support Deed and the FXC
Collateral Annex 285 Framework for the ISDA Credit Support Annexes 293
Enforcement Rights of the Secured Party 294 Some Additional Features
Commonly Found in Credit Support Documents 296 The Value-at-Risk Concept
297 VaR for Spot, Forward, and Vanilla Options 298 Portfolio Value-at-Risk
305 Sample Customer Credit Snapshot 310 Limitations of VaR 310 Limitations
of Collateralized Agreements 313 Summary 313 Appendix 6.1: The 1999
Collateral Annex to FEOMA, IFEMA, or ICOM Master Agreement 314 References
337 CHAPTER 7 Foreign Exchange Prime Brokerage 339 Overview of FX Prime
Brokerage 339 Pros and Cons of FX Prime Brokerage 341 Execution and
Confirmation in an FX Prime Brokerage Environment 343 The Legal
Architecture of FX Prime Brokerage 345 The FX Prime Broker and the
Executing Dealer 346 The Master FX Give-up Agreement 346 Other Elements of
the Master FX Give-up Agreement 354 The FX Prime Broker and the Designated
Party 359 The Executing Dealer and the Designated Party 366 Reverse Give-Up
Relationships 366 Summary 368 Appendix 7.1: Master FX Give-Up Agreement 369
Appendix 7.2: Compensation Agreement 384 References 388 About the Author
389 Index 391
Preface xi Acknowledgments xv CHAPTER 1 Introduction to Foreign Exchange 1
Defining Money 1 Participants in the Foreign Exchange Market 2 Identifying
Currencies and Exchange Rates 4 Quotation Conventions 5 The Foreign
Exchange Market 6 Foreign Exchange Regimes 11 Exchange Rate Controls 12 The
Structure of the Foreign Exchange Market 12 Banks' Identification Codes 13
The Authorities 15 Spot Foreign Exchange Deals 17 Profit and Loss on a
Simple Trade 18 Value Dates 19 Forward Foreign Exchange and Covered
Interest Parity 20 Forward Swaps 21 Non-Deliverable Forwards 22 Summary 22
Appendix 1.1: ISO Currency Codes 23 References 34 CHAPTER 2 Options on
Foreign Exchange 35 Option Basics 35 Put-Call Parity 37 The Importance of
Option Models 39 Risk Parameters 41 The Minor Greeks 44 More on Delta 45
Portfolios of Options 50 American Exercise Models 51 Volatility 52
Important Option Strategies 55 Option Market Making 56 Non-Deliverable
Options 56 Barrier Options 58 Binary Options 65 Barrier Determination
Agency 69 Other Exotic Options 70 More on Option-Related Risks 70 Summary
72 Appendix 2.1: Further Comments on Put-Call Parity 72 Appendix 2.2:
Black-Scholes-Merton Model 74 Appendix 2.3: Barrier and Binary Options 75
References 78 CHAPTER 3 How Trades are Executed and Confirmed 81 Spot
Foreign Exchange Deals 83 Forward Outright Deals 83 Forward Swap Deals 85
Option Trades 87 How Foreign Exchange Trades are Executed 88 Concentration
in Market Making 89 Example of an Electronic Trading Platform: FXall 92
Trade Documentation Cycle 97 Internal Operations and Reports for Dealers
141 Summary 159 Appendix 3.1: Transactions at Daily Fixings 160 References
160 CHAPTER 4 Foreign Exchange Settlement 161 Settlement Instructions for
an Individual Spot Foreign Exchange Deal 161 Overview of the Settlement
Process 170 The Bretton Woods-Smithsonian Period 171 The Herstatt Legacy
172 Settlement Risk 173 Netting 176 How the Modern Settlement Systems
Developed 181 Large-Value Transfers 186 Central Bank Involvement 186
Correspondent Banking 187 Payment Systems 187 Designated-Time Net
Settlement (DTNS) 189 Real-Time Gross Settlement (RTGS) 189 Examples of
Modern Payment Systems 192 CLS Bank International 203 Internal Controls 208
Summary 209 References 209 CHAPTER 5 Master Agreements 211 Motivation 212
The Architecture 214 The FXC Master Agreement Forms 215 The ISDA Master
Agreement Forms 215 Single Agreement 217 Non-Reliance: Parties to Rely on
Their Own Expertise 219 Netting: Payment or Settlement Netting and Novation
Netting 220 Events of Default 221 Termination Events 228 Additional
Termination Events 230 Close-Out Netting 231 Safe Harbors 232 Early
Termination 233 Payments Upon Termination and Close-Out Amounts 234
Close-Out Amount: 2002 ISDA 236 Set-Off Provisions 241 Special Features for
Options: ICOM and FEOMA 241 Special Features for Non-Deliverable Forwards
242 Miscellaneous Issues 242 More on Deeds of Adherence and Schedules 245
Summary 245 Appendix 5.1: IFXCO Terms 246 Appendix 5.2: IFXCO Adherence
Agreement 275 References 281 CHAPTER 6 Margin and Collateral 283 Credit
Agreements 283 Framework for the ISDA Credit Support Deed and the FXC
Collateral Annex 285 Framework for the ISDA Credit Support Annexes 293
Enforcement Rights of the Secured Party 294 Some Additional Features
Commonly Found in Credit Support Documents 296 The Value-at-Risk Concept
297 VaR for Spot, Forward, and Vanilla Options 298 Portfolio Value-at-Risk
305 Sample Customer Credit Snapshot 310 Limitations of VaR 310 Limitations
of Collateralized Agreements 313 Summary 313 Appendix 6.1: The 1999
Collateral Annex to FEOMA, IFEMA, or ICOM Master Agreement 314 References
337 CHAPTER 7 Foreign Exchange Prime Brokerage 339 Overview of FX Prime
Brokerage 339 Pros and Cons of FX Prime Brokerage 341 Execution and
Confirmation in an FX Prime Brokerage Environment 343 The Legal
Architecture of FX Prime Brokerage 345 The FX Prime Broker and the
Executing Dealer 346 The Master FX Give-up Agreement 346 Other Elements of
the Master FX Give-up Agreement 354 The FX Prime Broker and the Designated
Party 359 The Executing Dealer and the Designated Party 366 Reverse Give-Up
Relationships 366 Summary 368 Appendix 7.1: Master FX Give-Up Agreement 369
Appendix 7.2: Compensation Agreement 384 References 388 About the Author
389 Index 391
Defining Money 1 Participants in the Foreign Exchange Market 2 Identifying
Currencies and Exchange Rates 4 Quotation Conventions 5 The Foreign
Exchange Market 6 Foreign Exchange Regimes 11 Exchange Rate Controls 12 The
Structure of the Foreign Exchange Market 12 Banks' Identification Codes 13
The Authorities 15 Spot Foreign Exchange Deals 17 Profit and Loss on a
Simple Trade 18 Value Dates 19 Forward Foreign Exchange and Covered
Interest Parity 20 Forward Swaps 21 Non-Deliverable Forwards 22 Summary 22
Appendix 1.1: ISO Currency Codes 23 References 34 CHAPTER 2 Options on
Foreign Exchange 35 Option Basics 35 Put-Call Parity 37 The Importance of
Option Models 39 Risk Parameters 41 The Minor Greeks 44 More on Delta 45
Portfolios of Options 50 American Exercise Models 51 Volatility 52
Important Option Strategies 55 Option Market Making 56 Non-Deliverable
Options 56 Barrier Options 58 Binary Options 65 Barrier Determination
Agency 69 Other Exotic Options 70 More on Option-Related Risks 70 Summary
72 Appendix 2.1: Further Comments on Put-Call Parity 72 Appendix 2.2:
Black-Scholes-Merton Model 74 Appendix 2.3: Barrier and Binary Options 75
References 78 CHAPTER 3 How Trades are Executed and Confirmed 81 Spot
Foreign Exchange Deals 83 Forward Outright Deals 83 Forward Swap Deals 85
Option Trades 87 How Foreign Exchange Trades are Executed 88 Concentration
in Market Making 89 Example of an Electronic Trading Platform: FXall 92
Trade Documentation Cycle 97 Internal Operations and Reports for Dealers
141 Summary 159 Appendix 3.1: Transactions at Daily Fixings 160 References
160 CHAPTER 4 Foreign Exchange Settlement 161 Settlement Instructions for
an Individual Spot Foreign Exchange Deal 161 Overview of the Settlement
Process 170 The Bretton Woods-Smithsonian Period 171 The Herstatt Legacy
172 Settlement Risk 173 Netting 176 How the Modern Settlement Systems
Developed 181 Large-Value Transfers 186 Central Bank Involvement 186
Correspondent Banking 187 Payment Systems 187 Designated-Time Net
Settlement (DTNS) 189 Real-Time Gross Settlement (RTGS) 189 Examples of
Modern Payment Systems 192 CLS Bank International 203 Internal Controls 208
Summary 209 References 209 CHAPTER 5 Master Agreements 211 Motivation 212
The Architecture 214 The FXC Master Agreement Forms 215 The ISDA Master
Agreement Forms 215 Single Agreement 217 Non-Reliance: Parties to Rely on
Their Own Expertise 219 Netting: Payment or Settlement Netting and Novation
Netting 220 Events of Default 221 Termination Events 228 Additional
Termination Events 230 Close-Out Netting 231 Safe Harbors 232 Early
Termination 233 Payments Upon Termination and Close-Out Amounts 234
Close-Out Amount: 2002 ISDA 236 Set-Off Provisions 241 Special Features for
Options: ICOM and FEOMA 241 Special Features for Non-Deliverable Forwards
242 Miscellaneous Issues 242 More on Deeds of Adherence and Schedules 245
Summary 245 Appendix 5.1: IFXCO Terms 246 Appendix 5.2: IFXCO Adherence
Agreement 275 References 281 CHAPTER 6 Margin and Collateral 283 Credit
Agreements 283 Framework for the ISDA Credit Support Deed and the FXC
Collateral Annex 285 Framework for the ISDA Credit Support Annexes 293
Enforcement Rights of the Secured Party 294 Some Additional Features
Commonly Found in Credit Support Documents 296 The Value-at-Risk Concept
297 VaR for Spot, Forward, and Vanilla Options 298 Portfolio Value-at-Risk
305 Sample Customer Credit Snapshot 310 Limitations of VaR 310 Limitations
of Collateralized Agreements 313 Summary 313 Appendix 6.1: The 1999
Collateral Annex to FEOMA, IFEMA, or ICOM Master Agreement 314 References
337 CHAPTER 7 Foreign Exchange Prime Brokerage 339 Overview of FX Prime
Brokerage 339 Pros and Cons of FX Prime Brokerage 341 Execution and
Confirmation in an FX Prime Brokerage Environment 343 The Legal
Architecture of FX Prime Brokerage 345 The FX Prime Broker and the
Executing Dealer 346 The Master FX Give-up Agreement 346 Other Elements of
the Master FX Give-up Agreement 354 The FX Prime Broker and the Designated
Party 359 The Executing Dealer and the Designated Party 366 Reverse Give-Up
Relationships 366 Summary 368 Appendix 7.1: Master FX Give-Up Agreement 369
Appendix 7.2: Compensation Agreement 384 References 388 About the Author
389 Index 391