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Measuring and Controlling Interest Rate and Credit Risk
Contributor(s): Fabozzi, Frank J. (Author), Choudhry, Moorad (Joint Author), Mann, Steven V. (Joint Author)
ISBN: 0471268062     ISBN-13: 9780471268062
Publisher: John Wiley & Sons
OUR PRICE:   $95.00  
Product Type: Hardcover - Other Formats
Published: August 2003
Qty:
Temporarily out of stock - Will ship within 2 to 5 weeks
Annotation: 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
  • Performing credit derivative valuation
  • Managing credit risk using credit derivatives and structured products

Filled with in-depth analysis and insights from recognized experts in the field, Measuring and Controlling Interest Rate and Credit Risk, Second Edition is a must-read for portfolio managers and traders who need to continually sharpen their financial skills.
Additional Information
BISAC Categories:
- Business & Economics | Finance - General
- Business & Economics | Investments & Securities - General
Dewey: 332.632
Series: Frank J. Fabozzi
Physical Information: 1.58" H x 6.33" W x 9.15" (2.09 lbs) 533 pages
 
Descriptions, Reviews, Etc.
Publisher Description:
Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position.

Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging.

Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London.

Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.