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Measuring and controlling interest rate risk

Measuring and controlling interest rate risk

  • ISBN: 9780471268062
  • Editorial: John Wiley & Sons Limited
  • Lugar de la edición: Hoboken, NJ. Estados Unidos de Norteamérica
  • Edición número: 2nd ed.
  • Colección: The Frank J. Fabozzi Series
  • Encuadernación: Cartoné
  • Medidas: 23 cm
  • Nº Pág.: 533
  • Idiomas: Inglés

Papel: Cartoné
93,14 €
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Resumen

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 INDICE CHAPTER 1: Introduction. CHAPTER 2: Valuation. CHAPTER 3: Tools for Measuring Level Interest Rate Risk. CHAPTER 4: Measuring Yield Curve Risk. CHAPTER 5: Probability Distributions and Their Properties. CHAPTER 6: Correlation Analysis and Regression Analysis. CHAPTER 7: Measuring and Forecasting Yield Volatility. CHAPTER 8: Measuring Interest Rate Risk with Value-at-Risk. CHAPTER 9: Futures and Forward Rate Agreements. CHAPTER 10: Interest Rate Swaps and Swaptions. CHAPTER 11: Exchange-Traded Options. CHAPTER 12: OTC Options and Related Products CHAPTER 13: Controlling Interest Rate Risk with Derivatives. CHAPTER 14: Controlling Interest Rate Risk of an MBS Derivative Portfolio. CHAPTER 15: Credit Risk and Credit Value-at-Risk. CHAPTER 16: Credit Derivatives: Instruments and Applications. CHAPTER 17: Credit Derivative Valuation. CHAPTER 18: Managing Credit Risk Using Structured Products

Resumen

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