Frank Fabozzi – Measuring & Controlling Interest Rate & Credit Risk (2nd Ed.)

Measuring and Controlling Interest Rate and Credit Risk offers keys to utilizing derivatives to manage rate of interest danger and credit score danger, and controlling rate of interest danger in a mortgage-backed securities spinoff portfolio. This guide consists of info on measuring yield curve danger, swaps and exchange-traded choices, TC choices and associated merchandise, and describes easy methods to measure and management the rate of interest of danger of a bond portfolio or buying and selling place.

Measuring and Controlling Interest Rate and Credit Risk is a scientific analysis of easy methods to measure and management the rate of interest danger and credit score danger of a bond portfolio or buying and selling place, defining key factors within the technique of danger administration as associated to monetary conditions. The authors assemble a verbal circulate chart, defining and illustrating rate of interest danger and credit score danger with regard to valuation, likelihood distributions, forecasting yield volatility, correlation and regression analyses. Hedging devices mentioned embody futures contracts, rate of interest swaps, trade traded choices, OTC choices, and credit score derivatives. The textual content consists of calculated examples and readers will learn to measure and management the rate of interest danger and credit score danger of a bond portfolio or buying and selling place. They will uncover worth in danger approaches, valuation, likelihood distributions, yield volatility, futures, rate of interest swaps, trade traded funds; and discover in-depth, up-to-date info on measuring rate of interest with derivatives, quantifying the outcomes of positions, and hedging.

Frank J. Fabozzi (New Hope, PA) is a monetary marketing 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 on the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance companies in London.

Moorad Choudhry (Surrey, England) is a senior Fellow on 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 plenty of books on mounted revenue evaluation and the capital markets. Moorad started his City profession with ABN Amro Hoare Govett Sterling Bonds Limited, the place he labored as a gilt-edged market maker, and Hambros Bank Limited the place he was a sterling proprietary dealer. He is at the moment a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.