Measuring and Controlling Interest Rate and Credit Risk

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

• ISBN13: 9780471268062
• ISBN10: 0471268062
• Edition: 2nd
• Format: Hardcover
• Copyright: 2003-09-12
• Publisher: Wiley

Summary

"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

Author Biography

FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University&#146;s School of Management, and a consultant in the fixed-income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.<BR>

Table of Contents

Preface.

About the Authors.

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: Correla