Description: Measuring and Controlling Interest Rate and Credit Risk Frank J. Fabozzi; Steven V. Mann and Moorad Choudhry Product Overview Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange- traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position. 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. Read more Details Publisher : Wiley; 2nd edition (May 16, 2003) Language : English Hardcover : 304 pages ISBN-10 : 0471268062 ISBN-13 : 62 Item Weight : 1.75 pounds Dimensions : 6.32 x 1.58 x 9.23 inches Best Sellers Rank: #4,639,062 in Books (See Top 100 in Books) #1,634 in Business Investments #2,311 in Business Finance #2,796 in Money & Monetary Policy (Books) #1,634 in Business Investments #2,311 in Business Finance Stock Photos Please Note: All of our book listings use stock photos unless otherwise stated. Please read our descriptions for accurate conditions and editions, don't use the photos! Free Shipping We ship worldwide. We have multiple warehouses around the world, so please note the extended handling time on certain listings.
Price: 115.64 USD
Location: Williamsburg, Virginia
End Time: 2025-01-10T05:31:20.000Z
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Item Specifics
Restocking Fee: No
Return shipping will be paid by: Buyer
All returns accepted: Returns Accepted
Item must be returned within: 30 Days
Refund will be given as: Money Back
ISBN: 0471268062
ISBN10: 0471268062
ISBN13: 9780471268062
EAN: 9780471268062
MPN: does not apply
Brand: Wiley
UPC: 723812139552
GTIN: 09780471268062
Edition: 2
Book Title: Measuring and Controlling Interest Rate and Credit Risk
Number of Pages: 533 Pages
Language: English
Publisher: Wiley & Sons, Incorporated, John
Item Height: 1.6 in
Publication Year: 2003
Topic: Interest, Decision-Making & Problem Solving, Investments & Securities / General
Features: Revised
Illustrator: Yes
Genre: Business & Economics
Item Weight: 32.9 Oz
Author: Moorad Choudhry, Frank Fabozzi, Steven V. Mann
Item Length: 9.2 in
Item Width: 6.3 in
Book Series: Frank J. Fabozzi Ser.
Format: Hardcover
