Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Selected Global Bond Markets
Thirty-nine chapters, one bibliography, and a lot of equations. This series walked through Alexander Düring’s Fixed Income Trading and Risk Management (Wiley, ISBN 9781119756354) from repo mechanics to global bond tickers. Here is what stuck after reading it cover to cover as blog chapters.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Portfolio Rebalancing | Next: Series Finale
The last numbered chapter is a field guide. Düring does not try to teach theory here. He gives tickers, conventions, and issuance quirks you would otherwise learn from six months of desk chatter.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Mean-Variance Optimisation | Next: Selected Global Bond Markets
A portfolio question with three valid answers sounds like a trick exam. Chapter 38 starts there.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Hedging | Next: Portfolio Rebalancing
Markowitz is the textbook default for portfolio choice. Chapter 37 walks it carefully, then shows where fixed income breaks the assumptions.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Portfolio Risk Management | Next: Mean-Variance Optimisation
Hedging is adding a liquid offset so an existing position stops moving with the market. Chapter 36 walks three rungs of sophistication: same-yield DV01, regression, and full curve model.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Index Mechanics | Next: Hedging
Part VII turns from tickets to books. Chapter 35 asks how you neutralize a portfolio against pricing factors, and how passive managers fake holding “the market” without buying every bond.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Principal Component Analysis | Next: Portfolio Risk Management
Bond indices look objective. Chapter 34 is short and technical about why they are actually two maps: who is in the index, and at what price.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Trading | Next: Bond Index Mechanics
PCA shows up throughout Düring’s book. Chapter 33 is the dedicated tutorial: what it is, when to use levels vs changes, and why it beats ordinary regression for hedge ratios.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Curve Trading | Next: Principal Component Analysis
Chapter 31 was curve shape. Chapter 32 is bond-specific: when you care which German 5Y is cheap versus another, not whether the whole curve steepens.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Trading Principles | Next: Bond Trading
Curve trading sounds like one idea: bet on shape changes. Chapter 31 shows how many distinct bets hide inside that phrase, and how carry and bond idiosyncrasies complicate every one.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Swaps | Next: Curve Trading
The book shifts from instruments to process. Chapter 30 is Düring’s trading philosophy chapter, and it is refreshingly blunt about luck.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Futures Part 2 | Next: Trading Principles
Chapter 29 is a pivot. After weeks of bonds, futures, and basis math, Düring steps back and asks: what are swaps, and why did they change everything?
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Bond Futures Part 1 | Next: Swaps
Part 1 set up basis and conversion factors. Part 2 is where bond futures get weird: hedging ratios that change when CTD switches, rolls that are not one-for-one, and squeezes that show up in repo before they show up in delivery.
Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Previous: Residential Mortgage-Backed Securities | Next: Bond Futures Part 2
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Asset-Backed Securities | Next: Bond Futures (Part 1)
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Covered Bonds | Next: Residential Mortgage-Backed Securities
Chapter 26 is a compact introduction to ABS before the book zooms into US RMBS in Chapter 27. It explains the machinery: SPVs, true sale, tranching, and why default means something different here than on a corporate bond.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Credit Risk | Next: Asset-Backed Securities
Chapter 25 is a deep dive on covered bonds, a European staple that funds housing and public sector lending at spreads that often sit inside bank senior debt by a lot.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Inflation-Indexed Bonds (Part 2) | Next: Covered Bonds
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Inflation-Indexed Bonds (Part 1) | Next: Credit Risk
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Curve Spreads | Next: Inflation-Indexed Bonds (Part 2)
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Carry and Roll-Down | Next: Inflation-Indexed Bonds (Part 1)
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Curve Analysis | Next: Curve Spreads
Chapter 21 is short but practical. It is about ranking curve sectors when you already have a curve and want to know where to park risk for the next few months.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Curves and Curve Models | Next: Carry and Roll-Down
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354
Previous: Asset Markets and Liquidity | Next: Curve Analysis
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 18 asks a simple question with a messy answer: how easy is it to turn this bond into cash without moving the price? Liquidity is not a constant property of an asset. It depends on the venue, the investor, the time of day, and whether someone just dropped CPI.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 17 covers floating-rate notes (FRNs). They look odd in a “fixed income” book because the coupon moves. But that feature is exactly why banks love them: coupons track funding costs.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Part two of Chapter 16 is where bonds become tradeable numbers: clean and dirty prices, how new issues get sold, and the yield metrics risk systems actually use.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 16 is huge, so this is part one: what bonds are, how cashflows differ, who issues them, and what lawyers put in prospectuses. Part two covers trading, pricing, and risk metrics.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 15 connects the dots between rates of different lengths. If you can lend 0→1 at r₁ and 0→2 at r₂, what rate do you need for 1→2 so you’re indifferent between one long loan and two short ones? That’s the forward rate question. It’s the grammar of yield curves.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 14 is about repo, and repo is the engine under almost everything in fixed income trading. A repurchase agreement is a sale plus a promise to buy back the same security later. Cash goes one way, collateral the other. Economically it’s a secured loan. The repo rate is the interest on the cash leg.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 13 covers the money market: anything up to two years, plus derivatives on short rates. It’s the second biggest capital market after FX. With standard docs in place, you can raise or place cash in minutes. That speed matters everywhere else in fixed income.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 12 is about the institution that sits in the middle of almost every modern derivatives and repo trade: the central counterparty (CCP). Instead of 8 firms needing 28 bilateral relationships, you get 8 links to one CCP. Osaka’s rice exchange was doing this in 1697. We just scaled it up.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 11 is the operational heart of the book. Trading is agreeing a deal. Settlement is making it final. Clearing is everything in between. If Chapter 10 was about what you own, this is about how you actually buy and sell it without blowing up your back office.
Book: Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
Chapter 10 is where the plumbing starts. Before you can trade anything, you need to know what you’re actually holding and how ownership gets recorded. Düring breaks fixed income into two big buckets: transferable securities and bilateral contracts. Both are legal documents, but securities are the ones that change hands in markets.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 9 is the longest of the bunch so far, and for good reason. QE, negative rates, helicopter money, yield curve control. This is the stuff that dominated financial headlines for a decade. Düring breaks it down with data, balance sheets, and honest uncertainty about what actually worked.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 8 is short but important. It bridges the gap between “how central banks operate” and “what those operations mean for policy.” The key insight: your operational framework is not neutral. The way you inject liquidity shapes your policy options.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 7 is the toolkit chapter. After Chapter 6 explained what central banks want to achieve, this one shows the actual levers they pull. If you trade money markets or care about why the Fed does repos vs. outright purchases, this is your chapter.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 6 is where theory meets practice. Düring explains what central banks are actually trying to do, the equations behind it, and why neither pure Keynesian nor pure monetarist approaches work cleanly in the real world.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 5 shifts from private banks to the institution that sits above them. Düring focuses on the “blue collar” side of central banking (operations and tools) rather than the “white collar” policy debates. But you still need both to understand markets.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 4 is the chapter everyone should read. It walks through exactly how banks create money, step by step, using double-entry bookkeeping. No hand-waving. Just balance sheets.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 3 is short but dense. Düring finally defines what a bank is, and then shows you why that definition is messy. Turns out a lot of things that look like banks are not banks, and a lot of banks do things that are not really “banking.”
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 2 is where the book gets real about money. Not the textbook “money is a medium of exchange” one-liner. A full tour from abstract properties to paper notes to fiat currency. If you ever wondered why we stopped using gold, this chapter explains it with actual numbers.
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
Chapter 1 sounds like it should be boring. It is not. Before any math or trading talk, Düring asks a deceptively simple question: what exactly is “fixed income”?
Book: Fixed Income Trading and Risk Management
Author: Alexander Düring
ISBN: 9781119756354 (ePub)
If you have ever wondered what “fixed income” actually means beyond “bonds,” this series is for you. I am working through Fixed Income Trading and Risk Management by Alexander Düring, chapter by chapter, and turning each one into a plain-English retelling. No finance bro energy. Just what the book says, why it matters, and what I think about it.