Duration, convexity, and other bond risk measures
著者
書誌事項
Duration, convexity, and other bond risk measures
Wiley, c1999
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注記
Reprint. Originally published: New Hope, Pa. : Frank J. Fabozzi Associates, 1999
Includes index
内容説明・目次
内容説明
Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity. Whether you're a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures is the only book you'll need.
目次
1. Overview.
2. The Reasons Why a Bond's Price Changes.
3. Price Volatility Characteristics of Bonds.
4. The Basics of Duration and Convexity.
5. Duration Measures of Bonds with Embedded Options and Foreign Bonds.
6. Duration and Convexity for Mortgage-Backed Securities.
7. Yield Curve Risk Measures.
8. Risk Measures for Interest Rate Derivatives.
9. Other Risk Measures.
10. Measuring Yield Volatility.
Index.
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