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Risk management : approaches for fixed income markets

Author: Bennett W Golub; Leo M Tilman
Publisher: New York : Wiley, 2000.
Series: Wiley frontiers in finance.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

RISK MANAGEMENT APPROACHES FOR FIXED INCOME MARKETS "Golub-Tilman will, I believe, become an absolutely essential reference text for fixed income portfolio managers, traders, issuers, and scholars.  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Bennett W Golub; Leo M Tilman
ISBN: 0471332119 9780471332114
OCLC Number: 43590529
Description: xxiii, 312 pages : illustrations ; 24 cm.
Contents: The Art and Science of Risk Management --
The "Brave New World" of Risk Management --
Market Risk Management Process --
Theory, Practice, and Computation: Challenges Specific to Fixed Income Markets --
Price Discovery --
Dynamic Portfolio Characteristics --
New Securities, New Structures, and the Absence of Historical Information --
Statistical Challenges: Risk Management versus Valuation --
Evolution of Risk Management Ideas --
Parametric Approaches to Risk Management --
Measuring Interest Rate Exposure: Analytical Approaches --
Macaulay and Modified Duration, and Convexity --
Option-Adjusted Framework: OAV, OAS, OAD, OAC --
Dynamic Nature of Local Risk Measures: Duration and Convexity Drift --
Scenario Analysis --
Measuring Interest Rate Exposure: Empirical Approaches --
Coupon Curve Duration --
OAS Curve Duration --
Empirical (Implied) Duration --
Measuring Yield Curve Risk --
Key Rate Durations --
Key Treasury Rate Durations --
Yield Curve Reshaping Durations --
Measuring Basis Risks --
Volatility Duration --
Spread Duration --
Measuring Mortgage-Related Risks --
Prepayment Duration --
Mortgage/Treasury Basis Duration --
Measuring Impact of Time --
Modeling Yield Curve Dynamics --
Probability Distributions of Systematic Risk Factors --
Principal Components Analysis: Theory and Applications --
Principal Components Analysis --
The First Principal Component and the Term Structure of Volatility --
Example: Historical Steepeners and Flatteners of the U.S. Treasury Curve --
Probability Distributions of Interest Rate Shocks.
Series Title: Wiley frontiers in finance.
Responsibility: Bennett W. Golub, Leo M. Tilman.
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