Measuring and controlling interest rate and credit risk

Contributor(s):

Material type: Text

TextLanguage: English Series: The Frank J. Fabozzi SeriesPublication details: Wiley, 2003Edition: 2ª edDescription: 533 p. ; 24 cmISBN:

9780471268062

Subject(s):

Online resources:

Click here to access online

Contents:

CHAPTER 1: Introduction. CHAPTER 2: Valuation. -- CHAPTER 3: Tools for Measuring Level Interest Rate Risk. -- CHAPTER 4: Measuring Yield Curve Risk. -- CHAPTER 5: Probability Distributions and Their Properties. -- CHAPTER 6: Correlation Analysis and Regression Analysis. -- CHAPTER 7: Measuring and Forecasting Yield Volatility. -- CHAPTER 8: Measuring Interest Rate Risk with Value-at-Risk. -- CHAPTER 9: Futures and Forward Rate Agreements. -- CHAPTER 10: Interest Rate Swaps and Swaptions. -- CHAPTER 11: Exchange-Traded Options. -- CHAPTER 12: OTC Options and Related Products. -- CHAPTER 13: Controlling Interest Rate Risk with Derivatives. -- CHAPTER 14: Controlling Interest Rate Risk of an MBS Derivative Portfolio. -- CHAPTER 15: Credit Risk and Credit Value-at-Risk. -- CHAPTER 16: Credit Derivatives: Instruments and Applications. -- CHAPTER 17: Credit Derivative Valuation. -- CHAPTER 18: Managing Credit Risk Using Structured Products. -- INDEX.-- --

Summary: 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. This completely revised Second Edition is filled with calculated examples and tables that will aid you in understanding numerous important issues such as: Measuring yield curve risk Controlling interest rate risk with derivatives Forecasting yield volatility Implementing Value at Risk (VaR) approaches to measure interest rate risk Performing credit derivative valuation Managing credit risk using credit derivatives and structured products Filled with in-depth analysis and insights from recognized experts in the field, Measuring and Controlling Interest Rate and Credit Risk, Second Edition is a must-read for portfolio managers and traders who need to continually sharpen their financial skills.

Holdings ( 1 )
Title notes ( 2 )

Holdings
Item type	Current library	Call number	Status	Date due	Barcode
Book	TBS Barcelona Libre acceso	HG6024.5 FAB (Browse shelf(Opens below))	Available		B01706

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. This completely revised Second Edition is filled with calculated examples and tables that will aid you in understanding numerous important issues such as: Measuring yield curve risk Controlling interest rate risk with derivatives Forecasting yield volatility Implementing Value at Risk (VaR) approaches to measure interest rate risk Performing credit derivative valuation Managing credit risk using credit derivatives and structured products Filled with in-depth analysis and insights from recognized experts in the field, Measuring and Controlling Interest Rate and Credit Risk, Second Edition is a must-read for portfolio managers and traders who need to continually sharpen their financial skills.