Dirk Willer - Trading Fixed Income and FX in Emerging Markets

1. Chapter 1
2. Chapter 2
3. Chapter 3
4. Chapter 4
5. Chapter 5
6. Chapter 6
7. Chapter 7
8. Chapter 9
9. Chapter 10
10. Chapter 11

1. Chapter 1
2. Chapter 2
3. Chapter 3
4. Chapter 4
5. Chapter 5
6. Chapter 6
7. Chapter 7
8. Chapter 8
9. Chapter 9
10. Chapter 10
11. Chapter 11

This book is required reading for practitioners, policy makers, and economists who want to understand Emerging Market investments. It is authoritative, comprehensive, and careful. I greatly enjoyed every chapter.

Tobias Adrian, Financial Counsellor to the Managing Director, Director of Monetary and Capital Markets department, IMF

A mustread book not only for those trading fixed income or FX in emerging markets but for all those interested in how EM financial markets actually work. I didn't know how little I knew until I read this.

Prof. Willem Buiter, CBE, FBA, Visiting Professor of International and Public Affairs at Columbia University, former MPC member at the Bank of England and Chief Economist at Citi

This book contains many insights into the dynamics of emerging market currencies and fixedincome instruments and should be required reading for traders, policymakers, and academics involved in this exciting field.

Prof. Andrew Lo, Professor at MIT Sloan School of Management, Chairman Emeritus AlphaSimplex Group

This is a rare book. Not only is it essential reading for portfolio managers and traders in the EM space, but it is also extremely useful for central bankers and other policy makers. Among others, it provides relevant insights on the impact of global financial conditions particularly actions by the Fedon EM rates and foreign exchange and on the ability (and restrictions) of central banks to conduct independent monetary policy

Prof. Guillermo Ortiz, Chairman Latin America x Brazil, BTG Pactual, former governor of the Central Bank and Secretary of Finance and Public Credit, Mexico

This book is required reading for both novices and emerging market experts. The authors offer invaluable lessons not only for EM traders and portfolio managers, but also for economists, policy makers and academics. The book is very thoroughly researched and, no doubt, will become the gold standard for emerging market fixed income.

Prof. Nouriel Roubini, Professor at the Stern School of Business, NYU, and Host of NourialToday.com

DIRK WILLER

RAM BALA CHANDRAN

KENNETH LAM

Copyright by John Wiley & Sons, Inc. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey.

Published simultaneously in Canada.

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Library of Congress CataloginginPublication Data

Names: Willer, D. (Dirk), author. | Chandran, Ram Bala, author. | Lam, Kenneth (Emerging Market Strategist), author.

Title: Trading fixed income and fx in emerging markets : a practitioner's guide / Dirk Willer, Ram Bala Chandran, Kenneth Lam.

Description: Hoboken, New Jersey : John Wiley & Sons, Inc., [2020] | Includes bibliographical references and index.

Identifiers: LCCN 2020029294 (print) | LCCN 2020029295 (ebook) | ISBN 9781119598992 (hardback) | ISBN 9781119599029 (adobe pdf) | ISBN 9781119599050 (epub)

Subjects: LCSH: Fixedincome securitiesChina. | Foreign exchange futuresChina.

Classification: LCC HG5782 .W55 2020 (print) | LCC HG5782 (ebook) | DDC 332.63/2044dc23

LC record available at https://lccn.loc.gov/2020029294

LC ebook record available at https://lccn.loc.gov/2020029295

Cover Design: Wiley

Cover Image: metamorworks/Getty Images

This book will make you a better portfolio manager and risktaker. The key to succeeding in markets is twofold. First, a solid methodology is crucial. And second, conviction to press the bets when the stars align may be even more important. The two issues are obviously linked. A solid methodology is, after all, what creates conviction. Such a methodology can come from participating in markets for a long time and internalizing what works along the way. The gut feeling of an experienced portfolio manager may be what gives conviction. But there is a shortcut: data can substitute for handson experience and is likely superior. After all, backtesting trading rules and analysing what works across many countries, instruments, and time periods is more reliable than just using data subconsciously collected during an individual trading career, which is necessarily more limited in terms of instruments traded and timespans covered. This book does the data analysis for our readers to generate a robust trading methodology for emerging markets. The result is a set of empirically validated rules of thumb that we find helpful to generate alpha. The rules are valuable for benchmarked longonly investment funds as well as for hedge funds. We establish both what works and what does not work (even though many think it does). Often, it is of equal value to understand what does not work, as noise reduction is important to generate conviction.

This book will make you a better policy maker. While the book is written from the perspective of making money in markets, some chapters are also relevant for policy makers. In particular, it is very important for policy makers to understand how markets will react to their various measures, whether they are FX interventions, IMF programmes, or interest rate policies. The actions of policy makers generate many of the opportunities for markets. But at the same time, understanding markets creates opportunities for policy makers.