Measuring and controlling interest rate and credit risk
Author(s)
Bibliographic Information
Measuring and controlling interest rate and credit risk
（Wiley finance series）（The Frank J. Fabozzi series）
John Wiley & Sons, c2003
2nd ed
- : hbk
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Note
Includes index
Description and Table of Contents
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.
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: 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.
INDEX.
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