Controlling interest rate risk : new techniques and applications for money management
著者
書誌事項
Controlling interest rate risk : new techniques and applications for money management
（Wiley professional banking and finance series）
Wiley, c1986
- est.
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注記
Includes index
内容説明・目次
内容説明
A comprehensive introduction to the state of the art techniques employed by fixed income portfolio managers to control exposure to interest rate and related risks. Techniques include both hedging and option related strategies, as well as the use of specialized investment vehicles. The book is written from the viewpoint of actual portfolio management situations. The book contains chapters which deal with applications of risk control procedures in a variety of institutional settings, and covers options such as zero coupons and stripped coupon bonds; risk control techniques; synthetic options; hedging with financial futures; and mortgage backed securities.
目次
Controlling Interest Rate Risks (R. B. Platt). GENERAL ANALYTICAL TECHNIQUES. The Term Structure of Interest Rates (G. D. Latainer). Uses of Duration Analysis for the Control of Interest Rate Risk (A. L. Toevs). Hedging with Financial Futures (A. L. Toevs & D. P. Jacob). The Uses of Options in Performance Structuring: Molding Returns to Meet Investment Objectives (R. Bookstaber). SPECIAL ANALYTICAL TECHNIQUES AND INSTRUMENTS. Mortgage Backed Securities: An Analytical Framework (S. M. Pinkus). Hedging Interest Rate Risk of Fixed-Income Securities with Uncertain Lives (A. L. Toevs). The Composite Hedge: Controlling the Credit Risk of High-Yield Bonds (R. Bookstaber & David P. Jacob). APPLICATIONS OF RISK CONTROL TECHNIQUES. Risk Control Techniques for Life Insurance Companies (J. A. Tilley & G. D. Latainer). Measuring and Managing Interest Rate Risk: A Guide to Asset/Liability Models Used in Banks and Thrifts (A. L. Toevs & W. C. Haney). A Risk Controlled Approach to Managing Corporate Cash Pools ( W. C. Haney). A Synthetic Option Framework for Asset Allocation (J. A. Tilley). Contingent Insurance Strategies for Actively Managed Bond Portfolios (R. B. Platte & G. D. Latainer). Index.
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