Measuring and controlling interest rate risk

著者

• Fabozzi, Frank J.

書誌事項

Measuring and controlling interest rate risk

Frank J. Fabozzi

Frank J. Fabozzi Associates, c1996

注記

Includes index

内容説明・目次

内容説明

Provides an explanation of concepts such as duration and convexivity, as well as more advanced topics such as probability distributions and regression analysis. It also gives keys to using derivatives to control interest rate risk and controlling interest rate risk in a mortgage-backed securities derivative portfolio. Topics discussed include: measuring yield curve risk; swaps and exchange-traded options; and OTC options and related products.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA33568403
• ISBN:
  • 1883249090
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: New Hope, Pen.
• ページ数/冊数: ix, 300 p.
• 大きさ: 24 cm
• 件名:
  • LCSH : Interest rates