Description - Measuring and Controlling Interest Rate and Credit Risk by Frank J. Fabozzi
Measuring and Controlling Interest Rate and Credit Risk
provides keys to using derivatives to control interest rate risk
and credit risk, and controlling interest rate risk in a
mortgage-backed securities derivative portfolio. This book includes
information on measuring yield curve risk, swaps and
exchange-traded options, TC options and related products, and
describes how to measure and control the interest rate of risk of a
bond portfolio or trading position.
Measuring and Controlling Interest Rate and Credit Risk
is a systematic evaluation of how to measure and control the
interest rate risk and credit risk of a bond portfolio or trading
position, defining key points in the process of risk management as
related to financial situations. The authors construct a verbal
flow chart, defining and illustrating interest rate risk and credit
risk in regards to valuation, probability distributions,
forecasting yield volatility, correlation and regression analyses.
Hedging instruments discussed include futures contracts, interest
rate swaps, exchange traded options, OTC options, and credit
derivatives. The text includes calculated examples and readers will
learn how to measure and control the interest rate risk and credit
risk of a bond portfolio or trading position. They will discover
value at risk approaches, valuation, probability distributions,
yield volatility, futures, interest rate swaps, exchange traded
funds; and find in-depth, up-to-date information on measuring
interest rate with derivatives, quantifying the results of
positions, and hedging.
Frank J. Fabozzi (New Hope, PA) is a financial consultant, the
Editor of the Journal of Portfolio Management, and an Adjunct
Professor of Finance at Yale University?s School of Management.
Steven V. Mann (Columbia, SC) is Professor of Finance at the
Moore School of Business, University of South Carolina. Moorad
Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase
structured finance services in London.
Moorad Choudhry (Surrey, England) is a senior Fellow at the
Centre for Mathematical Trading and Finance, CASS Business School,
London, and is Editor of the Journal of Bond Trading and
Management. He has authored a number of books on fixed income
analysis and the capital markets. Moorad began his City career with
ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a
gilt-edged market maker, and Hambros Bank Limited where he was a
sterling proprietary trader. He is currently a vice-president in
Structured Finance Services with JPMorgan Chase Bank in London.
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