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Measuring and Controlling Interest Rate and Credit Risk (Frank J. Fabozzi Series) Book
Measuring and Controlling Interest Rate and Credit Risk, Second Edition offers a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position under various financial conditions. Financial experts Frank Fabozzi, Steven Mann, and Moorad Choudhry clearly define and illustrate interest rate risk and credit risk using practical examples with market data. These experts also discuss various hedging instruments, including futures contracts, interest rate swaps, exchange-traded options, OTC options, and credit derivatives. This completely revised Second Edition is filled with calculated examples and tables that will aid you in understanding numerous important issues such as: Measuring yield curve risk Controlling interest rate risk with derivatives Forecasting yield volatility Implementing Value at Risk (VaR) approaches to measure interest rate risk Performing credit derivative valuation Managing credit risk using credit derivatives and structured products Filled with in-depth analysis and insights from recognized experts in the field, Measuring and Controlling Interest Rate and Credit Risk, Second Edition is a must-read for portfolio managers and traders who need to continually sharpen their financial skills.Read More
from£40.95 | RRP: * Excludes Voucher Code Discount Also available Used from £15.28
- 0471268062
- 9780471268062
- Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry
- 7 October 2003
- John Wiley & Sons
- Hardcover (Book)
- 304
- 2nd Edition
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