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Quantify the quantitative easing: impact on bonds and corporate debt issuance
Todorov, Karamfil
economic policy / fixed incomeResource overview

Quantify the quantitative easing: impact on bonds and corporate debt issuance

Paper2020

by Todorov, Karamfil

Tags
economic policyfixed incomeliquidity

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Suggested foundations for rates and fixed income and market microstructure and execution. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. Market Impact

    Connect trading speed and size to execution cost.

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