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Measuring and controlling interest rate and credit risk.

Author: Frank J Fabozzi; Steven V Mann; Moorad Choudhry
Publisher: New York ; Chichester : Wiley, 2003.
Series: Wiley finance series.; Frank J. Fabozzi series.
Edition/Format:   eBook : Document : English : 2nd ed.View all editions and formats
Database:WorldCat
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Fabozzi, Frank J.
Measuring and controlling interest rate and credit risk.
New York ; Chichester : Wiley, 2003
(OCoLC)52287268
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Frank J Fabozzi; Steven V Mann; Moorad Choudhry
ISBN: 0471485918 9780471485919
OCLC Number: 53127060
Notes: Previous edition: published as by Frank J. Fabozzi. Summit, N.J.: Frank J. Fabozzi Associates, 1996.
Description: 1 online resource (ix, 533 pages).
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.
Series Title: Wiley finance series.; Frank J. Fabozzi series.

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.

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