|
" Measuring and controlling interest rate and credit risk. "
| Document Type
|
:
|
BL
|
| Record Number
|
:
|
947026
|
| Doc. No
|
:
|
b701396
|
| Main Entry
|
:
|
Fabozzi, Frank J.
|
| Title & Author
|
:
|
Measuring and controlling interest rate and credit risk.
|
| Edition Statement
|
:
|
2nd ed. // Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry.
|
| Publication Statement
|
:
|
New York ;Chichester :: Wiley,, 2003.
|
| Series Statement
|
:
|
Frank J. Fabozzi series
|
|
|
:
|
Wiley finance series
|
| Page. NO
|
:
|
1 online resource (ix, 533 pages).
|
| ISBN
|
:
|
0471485918
|
|
|
:
|
: 9780471485919
|
|
|
:
|
0471268062
|
| Notes
|
:
|
Previous edition: published as by Frank J. Fabozzi. Summit, N.J.: Frank J. Fabozzi Associates, 1996.
|
| Bibliographies/Indexes
|
:
|
Includes bibliographical references and index.
|
| Contents
|
:
|
Introduction -- Valuation -- Tools for Measuring Level Interest Rate Risk -- Measuring Yield Curve Risk -- Probability Distributions and Their Properties -- Correlation Analysis and Regression Analysis -- Measuring and Forecasting Yield Volatility -- Measuring Interest Rate Risk with Value-at-Risk -- Futures and Forward Rate Agreements -- Interest Rate Swaps and Swaptions -- Exchange-Traded Options -- OTC Options and Related Products -- Controlling Interest Rate Risk with Derivatives -- Controlling Interest Rate Risk of an MBS Derivative Portfolio -- Credit Risk and Credit Value-at-Risk -- Credit Derivatives: Instruments and Applications -- Credit Derivative Valuation -- Managing Credit Risk Using Structured Products.
|
| Abstract
|
:
|
Measuring and Controlling Interest Rate and Credit Risk, Second Edition offers a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position under various financial conditions. Financial experts Frank Fabozzi, Steven Mann, and Moorad Choudhry clearly define and illustrate interest rate risk and credit risk using practical examples with market data. These experts also discuss various hedging instruments, including futures contracts, interest rate swaps, exchange-traded options, OTC options, and credit derivatives.
|
| Subject
|
:
|
Derivative securities.
|
| Subject
|
:
|
Interest rates.
|
| Subject
|
:
|
Risk management.
|
| Subject
|
:
|
BUSINESS ECONOMICS-- Investments Securities-- General.
|
| Subject
|
:
|
Derivative securities.
|
| Subject
|
:
|
Interest rates.
|
| Subject
|
:
|
Risk management.
|
| Dewey Classification
|
:
|
332.632
|
| LC Classification
|
:
|
HG1621F33 2003eb
|
| Added Entry
|
:
|
Choudhry, Moorad.
|
|
|
:
|
Mann, Steven V.
|
| |