Measuring and Controlling Interest Rate Risk (Frank J. Fabozzi Series) - Hardcover

Fabozzi, Frank J.

Hardcover

ISBN 10: 1883249090 ISBN 13: 9781883249090

Publisher: John Wiley & Sons, 1996

Synopsis

Measuring and Controlling Interest Rate Risk provides an examination of various techniques for measuring and controlling the interest rate risk of a bond portfolio or trading position. Generously supplemented with tables and calculated examples, this authoritative book also gives comprehensive coverage to: defining and illustrating interest rate risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses, futures and forward contracts, interest rate swaps, exchange traded options, OTC options, and controlling interest rate risk with derivatives.

About this title

About the Author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University’s School of Management.

Edition details

• Publisher: John Wiley & Sons
• Publication date: 1996
• Language: English
• ISBN 10: 1883249090
• ISBN 13: 9781883249090
• Binding: Hardcover
• Number of pages: 310