Measuring and controlling interest rate and credit risk.
General Material Designation
[Book]
EDITION STATEMENT
Edition Statement
2nd ed. /
Statement of Responsibility Relating to Edition
Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Chichester :
Name of Publisher, Distributor, etc.
Wiley,
Date of Publication, Distribution, etc.
2003.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (ix, 533 pages).
SERIES
Series Title
Frank J. Fabozzi series
Series Title
Wiley finance series
GENERAL NOTES
Text of Note
Previous edition: published as by Frank J. Fabozzi. Summit, N.J.: Frank J. Fabozzi Associates, 1996.
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index.
CONTENTS NOTE
Text of Note
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.
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SUMMARY OR ABSTRACT
Text of Note
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.
ACQUISITION INFORMATION NOTE
Source for Acquisition/Subscription Address
OverDrive, Inc.
Source for Acquisition/Subscription Address
OverDrive, Inc.
Stock Number
175166F5-C87D-4BF1-A22B-75B386CEB44A
OTHER EDITION IN ANOTHER MEDIUM
Title
Measuring and controlling interest rate and credit risk.
International Standard Book Number
0471268062
TOPICAL NAME USED AS SUBJECT
Derivative securities.
Interest rates.
Risk management.
BUSINESS & ECONOMICS-- Investments & Securities-- General.