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Measuring and controlling interest r...

Choudhry, Moorad.

Measuring and controlling interest rate and credit risk

Record Type:	Electronic resources : Monograph/item
Title/Author:	Measuring and controlling interest rate and credit risk/
Author:	Fabozzi, Frank J.
other author:	Mann, Steven V.
Published:	New York ;Wiley,2003.
Description:	1 online resource (ix, 533 p.)
Notes:	Previous ed.: published as by Frank J. Fabozzi. Summit, N.J.: Frank J. Fabozzi Associates, 1996.
Subject:	Interest rates. -
Online resource:	Click here for online access to this book (查閱全文) (EBSCO eBook)
ISBN:	0471485918 (electronic bk.)
ISBN:	9780471485919 (electronic bk.)

Measuring and controlling interest rate and credit risk
Fabozzi, Frank J.

Measuring and controlling interest rate and credit risk[electronic resource]. - 2nd ed. / - New York ;Wiley,2003. - 1 online resource (ix, 533 p.) - Wiley finance series. - Wiley finance series..

Previous ed.: published as by Frank J. Fabozzi. Summit, N.J.: Frank J. Fabozzi Associates, 1996.

Includes bibliographical references and index.

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.

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 comp

ISBN: 0471485918 (electronic bk.)

OverDrive, Inc.http://www.overdrive.comSubjects--Topical Terms:

175419
Interest rates.
Index Terms--Genre/Form:

172687
Electronic books.

LC Class. No.: HG1621 / F33 2003eb

Dewey Class. No.: 332.632

Measuring and controlling interest rate and credit risk
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504 $a Includes bibliographical references and index.
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520 $a 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 comp
588 $a Description based on print version record.
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