Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

eBook, PDF

Measuring and Controlling Interest Rate and Credit Risk (eBook, PDF)

Beschreibung

Measuring and Controlling Interest Rate and Credit Riskprovides keys to using derivatives to control interest rate riskand credit risk, and controlling interest rate risk in amortgage-backed securities derivative portfolio. This book includesinformation on measuring yield curve risk, swaps andexchange-traded options, TC options and related products, anddescribes how to measure and control the interest rate of risk of abond portfolio or trading position. Measuring and Controlling Interest Rate and Credit Riskis a systematic evaluation of how to measure and control theinterest rate risk and credit risk of a bond portfolio or tradingposition, defining key points in the process of risk management asrelated to financial situations. The authors construct a verbalflow chart, defining and illustrating interest rate risk and creditrisk in regards to valuation, probability distributions,forecasting yield volatility, correlation and regression analyses.Hedging instruments discussed include futures contracts, interestrate swaps, exchange traded options, OTC options, and creditderivatives. The text includes calculated examples and readers willlearn how to measure and control the interest rate risk and creditrisk of a bond portfolio or trading position. They will discovervalue at risk approaches, valuation, probability distributions,yield volatility, futures, interest rate swaps, exchange tradedfunds; and find in-depth, up-to-date information on measuringinterest rate with derivatives, quantifying the results ofpositions, and hedging. Frank J. Fabozzi (New Hope, PA) is a financial consultant, theEditor of the Journal of Portfolio Management, and an AdjunctProfessor of Finance at Yale University?s School of Management. Steven V. Mann (Columbia, SC) is Professor of Finance at theMoore School of Business, University of South Carolina. MooradChoudhry (Surrey, UK) is a Vice President with JPMorgan Chasestructured finance services in London. Moorad Choudhry (Surrey, England) is a senior Fellow at theCentre for Mathematical Trading and Finance, CASS Business School,London, and is Editor of the Journal of Bond Trading andManagement. He has authored a number of books on fixed incomeanalysis and the capital markets. Moorad began his City career withABN Amro Hoare Govett Sterling Bonds Limited, where he worked as agilt-edged market maker, and Hambros Bank Limited where he was asterling proprietary trader. He is currently a vice-president inStructured Finance Services with JPMorgan Chase Bank in London.

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• Geräte: PC
• mit Kopierschutz
• Größe: 11.6MB

Barrierefreiheit

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Autor

FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of PortfolioManagement, the Frederick Frank Adjunct Professor of Finance atYale University's School of Management, and a consultant inthe fixed-income and derivatives area. Frank is a CharteredFinancial Analyst and Certified Public Accountant who has editedand authored many acclaimed books in finance. He earned a doctoratein economics from the City University of New York in 1972. He is aFellow of the International Center for Finance at YaleUniversity. STEVEN V. MANN, PhD, is Professor of Finance at the Moore School ofBusiness, University of South Carolina. He has coauthored threeprevious books and numerous articles in the area of investments,primarily fixed-income securities and derivatives. Professor Mannis an accomplished teacher, winning twenty awards for excellence inteaching. He also works as a consultant to investment/commercialbanks and has conducted training programs for financialinstitutions throughout the United States. MOORAD CHOUDHRY is a vice president in structured finance serviceswith JPMorgan Chase Bank in London. Prior to this, he worked as agovernment bond trader and Treasury trader at ABN Amro Hoare GovettSterling Bonds Limited, and as a sterling proprietary trader atHambros Bank Limited. Moorad is a Fellow of the Centre forMathematical Trading and Finance, CASS Business School, London, andis Editor of the Journal of Bond Trading and Management.

Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 534
• Erscheinungstermin: 10. September 2003
• Englisch
• ISBN-13: 9780471485919
• Artikelnr.: 37301955