Investing in Emerging Fixed Income Markets / Edition 1

Investing in Emerging Fixed Income Markets / Edition 1

by Frank J. Fabozzi
     
 

ISBN-10: 0471218367

ISBN-13: 9780471218364

Pub. Date: 03/22/2002

Publisher: Wiley

In the 1990s, emerging markets began to be treated as a separate asset class. Even though there is no formal consensus on the definition of an emerging country, there is an understanding among investors of emerging market characteristics.

Investing in Emerging Fixed Income Markets touches on a variety of topics that are important to investors operating within

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Overview

In the 1990s, emerging markets began to be treated as a separate asset class. Even though there is no formal consensus on the definition of an emerging country, there is an understanding among investors of emerging market characteristics.

Investing in Emerging Fixed Income Markets touches on a variety of topics that are important to investors operating within fixed income emerging markets. This comprehensive guide addresses issues pertaining to the corporate bond market, valuation techniques, credit analysis, and risk management through valuable case studies and an in-depth examination of each topic. There are also chapters that describe local fixed income instruments, particularities of valuations, and arbitrage opportunities in these markets. This guide continues with focused coverage of the lessons learned from the Asian crisis and the effect European emerging markets will have on the European Union and the euro.

Written by experienced practitioners in this field-portfolio managers, traders, and credit analysts-Investing in Emerging Fixed Income Markets provides expert knowledge, advice, and insight on a range of topics, including:

• An in-depth examination of the issues of emerging market corporate bond valuations, the factors to be considered, and the risks that must be closely monitored

• An account from a Brazilian local fixed income trader of the events that took place from the 1997 Asian crisis to the 1999 Brazilian devaluation

• A proposal of new practices for credit analysis and risk management that has been triggered by the 1997 Asian crisis

• Adapting debt covenants to emerging markets

• Analytical issues in valuing emerging market assets, including the effect of swap spreads on the valuation of floating-rate bonds in emerging markets, the issue of pricing options on pegged currencies, and an analytical framework for default probabilities and recovery rates in emerging market bond valuation

• Case studies of the Brazilian company Tevecap and the Asian bank Dao Heng that demonstrate the particularities of emerging market risks

Investing in Emerging Fixed Income Markets shows you how to identify solid investment opportunities, assess risk potential, and develop an investment approach that will identify and capitalize on market opportunities in order to enhance long-term returns. With this book as your guide, you will effectively navigate the complicated world of emerging fixed income markets and consistently come out on top.

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Product Details

ISBN-13:
9780471218364
Publisher:
Wiley
Publication date:
03/22/2002
Series:
Frank J. Fabozzi Series, #9
Pages:
374
Product dimensions:
9.21(w) x 6.14(h) x 0.88(d)

Table of Contents

About the Editors.

Contributing Authors.

Introduction (Frank J. Fabozzi and Efstathia Pilarinu).

SECTION I: EMERGING MARKET CHARACTERISTICS.

Brady Bonds (Jane Sachar Brauer).

Latin American Local Markets (James C. Kennan).

The Convergence of the Central European EMGs to the European Union (Stephen Gilmore).

Emerging Fixed Income and Local Currency: An Investment Management View (Luis R. Luis).

A Disciplined Approach to Emerging Markets Debt Investing (Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn).

Emerging Market CBOs: Considerations for Portfolio Managers (Laurie Goodman).

SECTION II: VALUATION AND TRADING ISSUES.

How Swap Spreads Affect the Performance of Floating Rate Emerging Market Bonds (Costas C. Hamakiotes).

Quantifying Dollar Differentials Between Emerging Market Bonds in Yield Terms (Costas C. Hamakiotes).

From the Asian Crisis to the Brazilian Devaluation: The View from a Trading Desk (Marcelo Fernandes de Lima Castro).

Local Fixed Income Arbitrage: The Brazilian Case Study (Marcelo Fernandes de Lima Castro).

Valuing Options on Fixed Exchange Rates: A Case Study of the Argentine Peso (James C. Kennan).

SECTION III: CREDIT ISSUES.

Challenges in the Credit Analysis of Emerging Market Corporate Bonds (Christopher Taylor).

Debt Covenants: Applications in Emerging Markets (Allen Vine and David Sohnen).

New Standards for Sovereign Credit Analysis and Risk Management: The Lessons of the Asia Crisis (Paul A. Pannkuk).

Default and Recovery Rates in Emerging Markets (Tsvetan N. Beloreshki).

Tevecap (Bruce Stanforth).

Dao Heng Bank (Andrew M. Aran).

Index.

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