Measuring and Controlling Interest Rate and Credit Risk
Language: English
Published by Wiley, 2003
- Hardcover
- Used
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- Title
- Measuring and Controlling Interest Rate and Credit Risk
- Author
- Frank J. Fabozzi; Steven V. Mann; Moorad Choudhry
- Publisher
- Wiley
- Publication year
- 2003
- Condition
- Very Good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0471268062
- ISBN 13
- 9780471268062
- Edition
- 2nd Edition
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.
"Synopsis" may belong to another edition of this title.
About the Author
STEVEN V. MANN, PhD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has coauthored three previous books and numerous articles in the area of investments, primarily fixed–income securities and derivatives. Professor Mann is an accomplished teacher, winning twenty awards for excellence in teaching. He also works as a consultant to investment/commercial banks and has conducted training programs for financial institutions throughout the United States.
MOORAD CHOUDHRY is a vice president in structured finance services with JPMorgan Chase Bank in London. Prior to this, he worked as a government bond trader and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad is a Fellow of the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management.
"About the title" may belong to another edition of this title.
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