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Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

Measuring and Controlling Interest Rate and Credit Risk

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ISBN: 0471268062
Издательство: John Wiley & Sons
Год издания: 2003
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 ...