Moorad Choudhry - Analysing and Interpreting the Yield Curve

1. Chapter 1
2. Chapter 2
3. Chapter 8
4. Chapter 9
5. Chapter 11
6. Chapter 12
7. Chapter 13
8. Appendix

1. Chapter 1
2. Chapter 2
3. Chapter 3
4. Chapter 4
5. Chapter 5
6. Chapter 7
7. Chapter 8
8. Chapter 9
9. Chapter 10
10. Chapter 11
11. Chapter 12
12. Chapter 13
13. Appendix

Second Edition

MOORAD CHOUDHRY

With contributions from Polina Bardaeva, Ken Kortanek, Kevin Liddy, Wolfgang Marty and Vladimir Medvedev

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First published 2004

Second Edition published 2019

2004, 2019 Moorad Choudhry

John Wiley & Sons Ltd

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Library of Congress CataloginginPublication Data

Names: Choudhry, Moorad.

Title: Analysing and interpreting the yield curve / Moorad Choudhry.

Other titles: Analysing & interpreting the yield curve | Analyzing and interpreting the yield curve

Description: Second edition. | Chichester, UK : Wiley, 2019. | Series: Wiley finance | Revised edition of the author's Analysing and interpreting the yield curve, c2004. | Includes bibliographical references and index. |

Identifiers: LCCN 2018056454 (print) | LCCN 2018057854 (ebook) | ISBN 9781119141068 (AdobePDF) | ISBN 9781119141051 (ePub) | ISBN 9781119141044 (hardback)

Subjects: LCSH: BondsValuationEconometric models. | BISAC: BUSINESS & ECONOMICS / Banks & Banking.

Classification: LCC HG4651 (ebook) | LCC HG4651 .C6793 2019 (print) | DDC 332.63/23dc23

LC record available at https://lccn.loc.gov/2018056454

Cover Design: Wiley

Cover Images: top: Gen Epic Solutions/Shutterstock, bottom: hywards/shutterstock

For Lindsay

Ultimate Yummy Mummy

It is an honour to be asked to contribute a few words at the beginning of this publication.

Moorad and I first met back in 2010. We were both attending the Group Balance Sheet Management Committee at The Royal Bank of Scotland, our employer at the time. Although I forget the specific theme of the discussion, I remember our desire, incidentally which was not necessarily shared by the other committee members, to investigate and better understand a trend in the balance sheet of our organisation and in the wider economy.

Respecting each other's viewpoint, we quickly became good friends. However, we are like chalk and cheese. In Belbin's terminology, Moorad possesses many of the qualities of the Plant and Resource Investigator, being creative, imaginative and freethinking as well as outgoing and enthusiastic, whereas I am most comfortable in the role of the Completer Finisher.

Although our shared passion for the financial markets became evident at our first meeting, it was only later I realised Moorad also possesses a burning desire to pass on his knowledge, understanding and perceptive insights to others, by either delivering lectures and presentations or through the written word.

I first became aware of Moorad's teaching skills in 2014 when he invited me to speak to students studying for the Certificate of Bank Treasury Risk Management. This is a practitioneroriented professional qualification in bank assetliability management, which is delivered to a global audience and was developed by Moorad and the team from WBS Training Ltd. There are also his numerous short course and conference performances I could highlight, all with financial risk management as the enduring theme.

When it comes to writing, Moorad is both versatile and prolific. By my counting, this updated edition of Analysing and Interpreting the Yield Curve is his third book of the year so far. However, there's still a way to go to catch Corin Tellado, a renowned Spanish author who published over 4,000 novels in her lifetime. The comparison is probably unfair as it is doubtless a more difficult challenge to combine risk management theory, practice and current market developments in a captivating read, whilst also pursuing a fulltime career in banking!