„This is an important and timely book that demonstratesthe motivation and mathematics underlying the role of Treasury inbanking. From first principles, the theory of development banking, emerging market finance, and funding is derived based on theunderlying interest rate products available.“
--Jamie Walton, Global Head of Rates, FX and EmergingMarkets Quants, Morgan Stanley
„An outstanding description of what banking is all about. From the point of view of a treasury in a
development bank, Biagio performs a deep analysis of the essentialactivities of banking, so useful in a moment when, after times ofdelusion, credit and funding are again recognized to be the heartof finance. Everyone in this field will find this book detailed, useful, and yet enjoyable.“
--Massimo Morini, Head of Interest Rate and CreditModels, Banca IMI

Treasury Finance and Development Banking

A Guide to Credit, Debt, and Risk

von Biagio Mazzi

Credit and credit risk permeates every corner of the financialworld. Previously credit tended to be acknowledged only whendealing with counterparty credit risk, high-yield debt orcredit-linked derivatives, now it affects all things, includingsuch fundamental concepts as assessing the present value of afuture cash flow. The purpose of this book is to analyze creditfrom the beginning--the point at which any borrowing entity(sovereign, corporate, etc.) decides to raise capital through itstreasury operation. To describe the debt management activity, thebook presents examples from the development banking world which notonly presents a clearer banking structure but in addition sits atthe intersection of many topical issues (multi-lateral agencies, quasi-governmental entities, Emerging Markets, shrinking pool ofAAA borrowers, etc.).
This book covers:
* Curve construction (instruments, collateralization, discounting, bootstrapping)
* Credit and fair valuing of loans (modeling, developmentinstitutions)
* Emerging markets and liquidity (liquidity, credit, capitalcontrol, development)
* Bond pricing (credit, illiquid bonds, recovery pricing)
* Treasury (funding as an asset swap structure, benchmarks forborrowing/investing)
* Risk and asset liability management (leverage, hedging, fundingrisk)