Measuring and Controlling Interest Rate and Credit Risk. 2nd Edition. Frank J. Fabozzi Series

  • ID: 2213989
  • Book
  • 534 Pages
  • John Wiley and Sons Ltd
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Measuring and Controlling Interest Rate and Credit Risk, Second Edition offers a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position under various financial conditions.

Financial experts Frank Fabozzi, Steven Mann, and Moorad Choudhry clearly define and illustrate interest rate risk and credit risk using practical examples with market data. These experts also discuss various hedging instruments, including futures contracts, interest rate swaps, exchange–traded options, OTC options, and credit derivatives.

This completely revised Second Edition is filled with calculated examples and tables that will aid you in understanding numerous important issues such as:

  • Measuring yield curve risk
  • Controlling interest rate risk with derivatives
  • Forecasting yield volatility
  • Implementing Value at Risk (VaR) approaches to measure interest rate risk
  • Performing credit derivative valuation
  • Managing credit risk using credit derivatives and structured products

Filled with in–depth analysis and insights from recognized experts in the field, Measuring and Controlling Interest Rate and Credit Risk, Second Edition is a must–read for portfolio managers and traders who need to continually sharpen their financial skills.

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About the Authors.

CHAPTER 1: Introduction.

CHAPTER 2: Valuation.

CHAPTER 3: Tools for Measuring Level Interest Rate Risk.

CHAPTER 4: Measuring Yield Curve Risk.

CHAPTER 5: Probability Distributions and Their Properties.

CHAPTER 6: Correlation Analysis and Regression Analysis.

CHAPTER 7: Measuring and Forecasting Yield Volatility.

CHAPTER 8: Measuring Interest Rate Risk with Value–at–Risk.

CHAPTER 9: Futures and Forward Rate Agreements.

CHAPTER 10: Interest Rate Swaps and Swaptions.

CHAPTER 11: Exchange–Traded Options.

CHAPTER 12: OTC Options and Related Products.

CHAPTER 13: Controlling Interest Rate Risk with Derivatives.

CHAPTER 14: Controlling Interest Rate Risk of an MBS Derivative Portfolio.

CHAPTER 15: Credit Risk and Credit Value–at–Risk.

CHAPTER 16: Credit Derivatives: Instruments and Applications.

CHAPTER 17: Credit Derivative Valuation.

CHAPTER 18: Managing Credit Risk Using Structured Products.


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FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, and a consultant in the fixed–income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.

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.
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Note: Product cover images may vary from those shown